Green’s Dictionary of Slang

1. (US Und.) in prison.

1914

Wash. Post 11 Nov. Miscellany 3/4: At times a ‘subscription’ was raised for the brother ‘in the shade’ or ‘in Mexico.’.

2. (US Und.) on the run.

1950

Goldin et al. DAUL 107/1: In Mexico. In parts unknown, as a fugitive from justice. ‘Swaggie’s in Mexico. They got a knock-off (murder) reader (warrant) out on him with a plenty heavy tail (reward offered).’.