I've always considered Dora as Peruvian not Mexican... she does celebrate Mexican holidays though, but i guess its a cultural thing for Latinos to celebrate other Latin holidays other than their own.

edit:

BTW, Diego, Dora's counterpart and cousin, is Peruvian. I remember watching an episode where Diego indulges in several Peruvian cuisine. I'm definitely sure that Diego and Dora aren't from Brazil because Brazilians speak Portuguese not Spanish. The animals displayed on both TV shows suggest that they are somewhere in Peru, Mexico... possibly southern Chile (Diego mentioned the Bio Bio river once)