Mexico was a country to the south of the United States. While it was never annexed as Canada was, the US, seeking to protect business interests and their oil supply, put a lot of pressure on Mexico in 2051 and finally invaded it, though presumably never annexed it.
2051 - Seeking to protect business interests and their oil supply, the United States began to exert increasing pressure on Mexico, citing the political instability and pollution stemming from Mexico as a threat to the United States. Various economic sanctions served to destabilize Mexico, and the United States military entered Mexico to keep the oil refineries running and ensure that oil and fuel continued to make their way north across the border (at Mexico's expense). (appears in the Fallout Bible timeline)
The following is based on Van Buren and has not been confirmed by canon sources.
2066 - Resource rioting occurs in Denver, and riots happen because of that. Midwest USA and Mexico start having food shortages and can't supply Denver with the food it needs. Food riots occur (presumably in Denver). National Guard called in. (source: Denver design document)