If you have a mexican nationality you CANNOT GET A CDL. Mexico USA Canada have trade agreements, so if you have a mexican canadian or usa cdl you can use it in any of the 3 countrys. Thats why you cannot apply for one. Not even an out of state Cdl.
Now if you are from any other place that is not mexico you CAN apply for one go and apply for a NON RESIDENT CDL. Its going to cost more but you are able to.