Visa Z application in a third country

Yes, you can apply for the Z visa in Mexico since you are working there. Here is a list of Z visa application requiremetns for your reference: https://www.travelchinaguide.com/embassy/visa/work.htm
Besides these requirements, you also need to submit your Mexico Resident Permit valid for at least 6 months, Physical Examination by the authorized hospital and their photocopy.