Thanks for your thoughtful (and very prompt) answer, Dave.
(I never thought tax law would be so interesting!)
I see that Mexico and the US do have a tax treaty (Publication 901, p.23) "A student or business apprentice who is a resident of Mexico immediately before visiting the United States and is in the United States solely for the purpose of education or training is exempt from U.S. tax on amounts received from sources outside the United States for the individual's maintenance, education, or training."
And according to the treaty in https://www.irs.gov/pub/irs-trty/mexico.pdf, there is a Saving Clause in paragraph 3 of Article 1, and the Saving Clause does have exceptions in paragraph 4 of Article 1 which exempts students:
"The provisions of paragraph 3 shall not affect [...] b) the benefits conferred by a Contracting State under Articles 20 (Government Service), 21 (Students), and 28 (Diplomatic Agents and Consular Officers), upon individuals who are neither citizens of, nor lawful permanent residents in, that State."
