In The Handmaid's Tale it seems that Canada accepts refugees from Gilead, but there is no mention of Mexico doing so. Doesn't Mexico border Gilead? If so, why doesn't it help?
Mexico doesn't border Gilead, according to a map shown in the Season 2 finale.
According to the map, there Gilead occupies the northeastern United States, with "the colonies" to the west, and active warzones to the northwest and south.
Refugees from Gilead would have to cross active warzones to get to Mexico, whereas Canada has a direct border.
The states that make up the Republic of Gilead in complete occupation are: Minnesota, Wisconsin, Illinois, Michigan, Indiana, Ohio, Tennessee, Kentucky, West Virginia, Virginia, North Carolina, Maryland, Pennsylvania, Delaware, New Jersey, New York, Connecticut, Rhode Island, Maine, New Hampshire, and Massachusetts.
The closest point to Mexico appears to be Kentucky, about 900 miles from Mexico's border.