Same reason why the USA elected Trump, despite having no Old-Stock American ancestry, his mother was a Scottish immigrant, & his father was in New York City to two German immigrant parents, or the reason why Canada elected Carney, who is 100% Irish.
Mexican isn't an ethnicity or race, it's a nationality of many different races & ethnic groups, to be considered Mexican by birth, you either have to be born in Mexican territory, or be born abroad to at least one Mexican-born parent.
Mexico has many Indigenous ethnic groups like the Nahua, Otomi, Purepecha, Huichol, Zapotec, Mixtec, Tarahumara, etc, as well as non-Indigenous ethnic groups, such as the Mennoites, Anglo-American Mormons, Mascogos (Black Seminoles), Chipilo Venetians (Italo-Mexicans from Chipilo, Puebla), Spanish-descended Criollos, Afro-Mexicans, etc.
Also, keep in mind, that Mexico City is basically the Ellis Island of Mexico, & she is from there, & many of the upper-class neighborhoods such as Polanco have large Jewish populations.
Only in the USA, people consider Mexican to a so-called "ethnicity", because many Americans, think that everything south of the Rio Grande are all the same, like the non-Hispanic Caribbean is Black, & the rest is the fictional "Latino/Hispanic" race, nope Latin America is a melting pot of many different peoples, mainly the Native Americans, Europeans, & Sub-Saharan Africans, & a mix of two or three of those.
The Mexican "ethnicity" could refer to the Mexican Mestizos (which could be an ethnic group in its own right), & to a lesser extent Spanish-descended Colonial Criollos, & maybe Hispanicized Indigenous Mexicans (despite only being Hispanicized for one or two generations).