Yes just ask any Mexican. It is the greatest of countries. They don't want to live there..but that is a "technical issue". As Carlos Mencia said: "it's easy to get a white European in this country to say Europe sucks...but you can never get a Mexican to say Mexico sucks"...LOL!
I've also found people from Africa, in general, can't readily tell the difference between a Mexican and an American ~ particularly not in movies.
Indians, Arabs and North Africans may be confused a bit about how much they resemble Mexicans but how differently they act. Lots of history there ~
At the same time there's little confusion on the part of Americans and Mexicans about who is who.