Historic hangover

That is because Mexican (and other LatAm countries too) history goes along a different way to American and Canadian history.

Upon European arrival, in today's USA and Canada, Native Americans were mostly displaced and an all-White society emerged.

In Mexico, Native Americans were mostly NOT displaced - Europeans just took over and governed them along with the European migrants who arrived; and a society with two races emerged.

In the USA, Blacks were brought as slaves. Most Blacks who arrived into the USA did survive a long-ish lifespan and thus managed to have children; however they were rarely emancipated and they certainly didn't mix with Natives, from which they were isolated, or with Whites (short of rape), who would always view them as a class below.

In Mexico, Blacks were brought as slaves too. However, both the type of work (mines, not agriculture) and the weather (usually not below-freezing in winter) meant most Blacks did not survive a long lifespan and thus didn't reproduce. However, the few who survived long enough were emancipated with more frequency than in the USA, allowing them to form families of free Blacks.

Upon independence, the USA was pretty much a society of three races that rarely mixed with each other, and the social barriers to mix would remain strong well into the 20th Century. What is more, each of the three had a definite societal role, and again, their societal roles would be set from birth and the barrier to trascend them for Blacks and Natives would not really disappear until well into the 20th Century too.

In Mexico though, as the three races lived in the same space, they would start mixing. Social barriers certainly existed - BUT, since the privileged class were European-born Whites, to the exclusion also of Americas-born Whites, barriers to mix were less strong than in the USA, particularly for not-upwardly-mobile Americas-born Whites. However, since the privileged class was still originally White, marriages between upper classes still mostly bred White children.

The end result, today, is that in the USA you can still for the most part tell clearly whether someone is White, Black or Native - because mixing has been rare and most of it recent.

In Mexico, though, mixing has been commonplace and has lasted for centuries - thus while there are some people you can clearly distinguish as White, Native or Black, the majority have features belonging to more than a single race. The catch is that, while "pure" Natives are mostly descendants of Natives who lived in the same place before European arrival and "pure" Blacks are mostly descendants of Blacks emancipated centuries ago; "pure" Whites tend to be lines of Whites who never mixed since their arrival from Europe, which in turn tends to be because they were elite upon arrival and only ever married among the elite which was already White too anyway. Hence the pale skin bias in elite Mexicans compared to a random sample - and hence why an obvious White in Mexico is assumed to be either foreigner or elite. Of course, since in post-independence times there has been no real explicitly racial upward barriers, mixing has reached the Mexican elite. Today it is less White than it was 50 or 100 years ago, and one would expect it to be increasingly less White if current tendencies continue.

And of course I am over-simplifying in that I am not including post-independence migration, which is a factor in both countries.