My understanding is it depends on whether they have to pay income tax as foreign nationals (some foreign nationals pay US income tax) If they pay US income tax yes, if not no (unless Mexico taxes the income, which I don't know.)
Note that in the case of people working here who are exempt, that it is another incentive to employ foreigners. Because all taxes are booked as a cost to employ someone; it's just a shell game to call them a tax that the employee pays.