Actually, there is plenty of video proof, and actual arrests, of Mexican citizens buying cases of ammo in the US to take back to Mexico. Ammo from the US makes sense because the cost difference between the US and foreign sources is not enough to make up for the shipping and convenience. Additionally ammo is not like a fully automatic weapon. Just about anything they want is readily available.
It’s not like they can just but it in Mexico.
Do we know for a fact that they weren't staged by BATFE, sort of like Bloomie's sting operations, but taken much farther and for different reasons?