They have no means. None of their missiles have the range and even if they were to develop the missiles with the range it would be cost prohibitive to carry on any sort of campaign. There's a reason empires like the US have navies and air forces. Missiles are good for coastal and regional defense but when you get to intercontinental wars you need to park warships and/or aircraft near the enemy to deliver ordinance in a reasonably cost effective manner.

Lacking a deep water navy or friendly air bases within range also rules that out. The only thing remaining would be physical infiltration and use of explosives and/or guns to attack military targets insurgency style but the odds for them there are not very good either. Trump has really tuned border security to very racist, very paranoid levels and the last thing Mexico wants or needs is a state like Iran infiltrating through it into the US to carry out attacks so they'd do their utmost to prevent that avenue. Such attacks wouldn't serve as much deterrence either because unlike the regional missile strikes where they know Iran can deep doing it over and over for a long time they wouldn't be convinced Iran could do the same with spies infiltrating the US to attack military bases.

Their chief negotiator also told CNN or whoever in a video interview they had no intention of attacking the American mainland.