Yes, that's a "Made in Mexico" figure - and that's a really nice example too, often the saber discolors with stress marks between the tip and main saber, and the chest paint is also a give-away for a well played with figure but yours is great!
Here's some pics of my carded version of your figure below for comparison of where your figure very likely came from:
The key features of the Mexican made figures are :
1) the "thicker tip" saber, clearly that's one of the more obvious differences.
2) the paint on his chest - the red "buttons" are more of a line with no separation
3) the "mouth" is less defined and deeper than the regular Hong Kong figures - I wont go into the "Made in H vs HK vs Taiwan" but essentially the mouth shape is different on the Mexican made figures.
4) and their capes are smooth both sides (no zipping sound as you run you finger nail "gently" over it, like the HK ones do)