Mexico

Why

Mexico is a city name, and a city takes à, with no article: à Mexico.

Example

L'air est plus rare à Mexico, qui se trouve à deux mille mètres.

The air is thinner in Mexico City, which sits at two thousand metres.

Worth knowing

Watch the false friend: Mexico is the CITY, le Mexique is the country. You go à Mexico and au Mexique, while English calls both Mexico.