I've never seen any credible evidence that he's entered through Mexico (though it's possible), but, coming from Guyana, much more likely he entered through Miami or NY or Canada.... just like every other middle eastern terrorist has.
While there are arab immigrants in all of Latin America, they don't have much to do with middle eastern politics (most came to avoid the problems at home) and/or are Christians and/or assimilate. It's very, very unlikely that they'd pose as Mexicans... any Mexican could tell the difference immediately. This is just based on the old "They all look alike to me" line of reasoning.
There's been a bolo on him for the Mexican border.
Michelle Malkin summed it up well back in 2004:
WHERE IS ADNAN SHUKRIJUMAH?
http://michellemalkin.com/archives/000413.htm