The US imports very little refined product from Mexico, about 100,000 barrels a day. That compares to US imports of 1.2 million barrels of crude from Mexico a day. The US actually exports more refined product to Mexico than it imports, with exports running at about 250,000 barrels a day.
Increasing refinery capacity in Mexico makes sense. Mexico is a net oil exporter (about 1.5 million barrels a day) but has less refinery capacity than it needs to meet its own consumption. Mexico consumes about 2 million barrels of product a day, but can refine only 1.5 million. Mexico is in the position of producing crude, exporting it, then having to import the finished product for its own domestic use.