It’s not a new car if you’re driving it over the border. Then it’s a used car. Volvo does something similar by offsetting someone visiting Sweden and driving the car round a bit before flying back and having their car delivered.

The bigger issue is, you need to have the right to buy a car in Mexico (legally a resident, usually), and have the ability to wire transfer in full (you’re not getting a loan). Then you pay a 2.5% duty when you bring it in.

Edit: Canada is probably the better place to try this gray importing scheme as their cars actually meet required US standards.