Which region is MX?

It's Country code for Mexico, like US or CA

It's part of LATAM, here's an example:

View attached image.

Mexico is usually included in LATAM region locks, but it happens more often than never that customers from Mexico get worldwide keys for Humble Bundle purchases (instead of LATAM locked ones). It's one of the few edge countries that is considered as sometimes belonging to ROW, although it mostly belongs to LATAM region locks. It highly depends on the publisher though.

Regions are often fluid for some countries.