Try this one...
Mexico has had a fairly brutal history of revolts against the Mexican state. Costa Rica, El Salvador, Guatemala, Honduras, Nicaragua, and Texas, all successfully broke away from Mexico. California, New Mexico, Chiapas, The Quintana Roo, Campeche, and the Yucatan, all revolted more than once against the Mexican government. So the idea that Mexico might fall completely apart is hardly outrageous. If we assume that Baja California North and South, Sonora, Sinaloa, Chihuahua, Durango, and Coahuila,(all of which have made noises at multiple times about joining the USA for a better deal, and done so repeatedly many times in three different centuries) join the USA, that still leaves a cluster of new nations just South of the US border.
People tend to think of the
Monroe Doctrine as either a joke or a relic. But in the decades between the AWC and WWII, several European powers tried to get new colonies in the Americas. In the 1930s Britain strongly supported a revolt in the Quintana Roo, with an eye to adding the Quintana Roo to its colonies much as it had once done with
British Honduras(Belize) in the 1860s. Thus if Mexico broke up in the late 19th century, the European Great Powers would be seeking advantage and colonies.
Basically, a more realistic
The Wild Wild West, cowboys, and superspies. If this is set in the 1890s during the transition to Tech Level Six, cutting edge tech could be a tech level above the local norm. Note: If you want to throw in Aztec Mummies and other wacky goodies from Mexican films, go for it. Base your next superspy on
Cantinflas. He wasn't just funny, he was seriously cool!