There are precedents in other confederations, such as Australia, which left the Oceania Football Confederation (OFC) for the Asian Football Confederation (AFC) in 2006, or Israel, which was expelled from the AFC in 1974 and joined UEFA in 1992. Although adding Mexico to a group already made up of Brazil, Argentina, Uruguay, Chile, Colombia, Paraguay, Ecuador, Peru, Bolivia and Venezuela would not guarantee Mexico an easier path to the World Cup.
What is to be gained from such a move?
The logical choice would be to put Mexico into CONMEBOL, the South American Confederation, but CONMEBOL only sends 4 countries directly to the World Cup, and a fifth to a playoff match against a team from another Confederation.
In fact, their path would be much more difficult whereas, today, Mexico is the powerhouse of CONCACAF and thus has qualified for every World Cup since 1982, when the field of teams admitted to the tournament was much narrower. I know, you could say Mexico didn't participate in the 1990 World Cup, but it wasn't because they didn't qualify, as the team was simply banned.
Playing in the Copa America doesn't count as a good reason for Mexico to move to CONMEBOL because it is already the non-conMEBOL country that has participated in the Copa America the most since forever.
How did the teams that changed Confederation fare?
The Northern Mariana Islands
Won the Oceania Football Confederation (OFC) Micronesia Games title. However, it was not until 2005 that a professional soccer institution was formed in that country. In 2009 this team left the OFC and joined the AFC, as a non-full member, since the Asian Football Confederation. Although it was far from participating in the Asian Cup, the maximum title to which it can aspire, due to its poor results.
Another case similar to that of the Northern Mariana Islands since they are located in Oceania but compete in the Asian confederation in search of greater competitiveness.
One of the nations that emerged from the dissolved Yugoslavia, Kasakhstan, which was part of the AFC, to the surprise of many in 2002 and was accepted in the UEFA, then ceased to be a selection with aspirations in Asia to be part of the bottom of the table in the old continent.
One of the most popular cases since it was part of four confederations.
First it was part of the AFC, where it won the Asian Cup in 1964. It also qualified for the 1968 Olympic Games and the 1970 World Cup. However, it was expelled from the AFC in 1974. After this the Israel team alternated between the OFC and UEFA until 1991 when it was accepted as a full member of UEFA.