He didn't. "Native born" Mexicans only become citizens of Mexico upon reaching the age of 18. George Romney left Mexico at the age of five, before he could have possibly become a citizen of Mexico. So that is the end of that theory, or it ought to be. Somehow I don't think you are ready to give it up.
Beyond that it is simply untrue that Mitt Romney would be denied Natural Born citizenship on the basis of his father's possible divided allegiance. The law is quite different from that, despite your imaginings on the subject. If George Romney was a US citizen (and his wife as well) at the time of Mitt Romney's birth, then despite your discomfiture, Mitt Romney IS a Natural Born Citizen of the United States.
Such an interpretation of the Constitution invalidates its original purpose, which is contrary to marbury v. Madison. The purpose of the clause was to disqualify any person upon whom a foreign sovereign could claim the right to command allegiance and obediance. The advent of the questonable practice of recognizing or tolerating dual citizeenship created a conflict which did not exist at the time the clause in the Constitution was adopted. The only way the intent of the clause can be given the efect intendeed by the Constitution is to disquaklify any person who has ever owed allegiance to a foreign sovereeign or anyone other than the citizens of the United States, exceepting of course the persons at the time the Constituion was adopted in 1787. Show us George Romney’s U.S. naturalization records.