Mexico, compared to Texas and the United States, did not seem to have a lot of success dealing with the Comanche since their homeland was deep in the territory of the Texan Republic and could not pursue them from stealing horses and attacking Mexican towns in the north in the 1800s. In fact, the Comanche were so devastating that much of the north was left empty (relatively speaking) and destitute when the American armies came during the Mex-American War.
Raids went as far south as Jalisco and Querétaro. I don't think it's implausible for a much larger raiding party, say around 1500-2000 braves make an attempt to raid and attack Mexico City itself.
It shouldn't be much of a stretch to ATTEMPT to take Mexico City.