What if the British had never intercepted the Zimmerman Telegram? Would Mexico have joined the Central Powers? Could Pancho Villa have become a famous WWI war hero? Would the US have still joined the Allies? How would this have effected Europe and America?
I looked into this for a timeline I am building. Basically, the Mexican military did examine this option, even with the telegram intercepted. The conculsion was that Germany couldn't give enough support for Mexico to win, and that Mexico would have a huge problem pacifying the English-speaking population of the former Mexican territories. Wisely, the Mexicans decided to lay low and stay out of trouble.
The only effect I can see is that Woodrow Wilson is missing a vital piece of propaganda, and this may or may not have delayed the entry of the US into the Great War. I doubt that the outcome would have been fundamentally different, although in my TL I am using it as an excuse to bring WW1 to a stalemate rather than an Allied victory (the Spanish Flu ends the war eventually).