I have read where in 1861 the governor of Nuevo Leon and Coahuila offered to have his states annexed to the CSA in exchange for a Texas regiment to help win a revolution. Then in 1862 the governor of Chihuahua agreed to ally the CSA to buy and store supplies there. Finally also in 1862 the governor of Sonora agreed to grant entry and passage of the CSA army and supply the CSA with food and military stores and was willing to rebel if the central government had a problem with this. It is believed that the annexation of Sonora was also discussed. A reporter out of San Frisco got wind of the Sonora negations and told the USA. So for discussion lets assume the Nuevo Leon and Coahuila join the CSA in 1861 and Sonora joins in 1862 while Chihuahua supplies food and weapons, how does this affect the war?
The governor of
Chihuahua was willing to negotiate with a CSA representative. While the CSA representative claimed Governor Terrazas supported the Confederacy, the actual documents Terrazas sent to the CSA government show something completely different. Terrazas did not agree to ally with the CSA. Terrazas did agree to let the CSA buy supplies, but refused to accept Confederate currency. They were not going to supply food to the CSA unless the CSA pays in gold or sliver, which they couldn't.
The governor of Nuevo Leon and Coahuila did offer to join the CSA, but the people of those states were not behind the idea and he soon fled to the Confederacy. If the CSA had accepted Vidaurri's offer and sent troops to support him, they might have been able to set up a puppet government in Nuevo Leon and Coahuila. There weren't a lot of CSA troops available in theater; the CSA failed miserably in it's attempt to annex New Mexico and Colorado, even though they had some support from the locals and even though about half of the Union forces were territorial militia.
French intervention showed Nuevo Leon and Coahuila were strongly opposed to foreign control. They also had over three times the population of New Mexico and Colorado. The Confederacy had almost no chance of maintaining control against the local populace, plus the annexation would result in Mexico declaring war on the Confederacy. Mexico had a larger free population than the Confederacy. In OTL, the CSA successfully exported a significant amount of cotton through Mexico. Annexing Nuevo Leon and Coahuila cuts off that trade, making the Confederate economic situation even bleaker.
It took one US gunboat to keep the governor of Sonora from aiding the Confederacy, so he will not ally with the CSA in 1862 when Mexico is at war with the CSA in 1861. The 1861 CSA annexation of Nuevo Leon and Coahuila costs them men and material they need elsewhere, worsens their economic problems, and probably results in the loss of significant portions of Texas.