Autonomy and culture are big points. Mexicans would be losing a lot of autonomy over to the United States, and their culture would to a large degree be overwritten by the more dominant countries culture.
The only situation where I see this working is where no one country can have total power over the others. Something like the EU, if they move towards federation. But even with the relatively loose coupling the EU has, there is plenty of euroskepticism - both founded and unfounded.
In general, the advantages of mergers are not so obvious, while the costs are enormous. You can get many of the benefits of having one country through mechanisms like free trade agreements, open borders, shared currency zones etc.