This page is currently under construction as I do not have a MIB Mexican Pizzazz (yet:)
Mexican Pizzazz

In order for this to be interesting, you should probably be familiar with the Hong Kong/Chinese* Pizzazz. 
There is also a Spanish Pizzazz which, boxed, may appear to be a Mexican doll as the text is Spanish on both. 
Assuming you are, let's begin! The differences, are fairly subtle to the casual observer, but for a Jem fanatic (which, if you are reading this, you probably are!) they are striking.  Thanks to Taffeta for many photos, cassette information on this page.

*Chinese/Hong Kong made dolls are those typically found in the US, Canada, Australia, most of Europe.
Non-Stamped Mexican

She has no stamp on her back, or the back of her head. 
 I'm told her hair is paler, a more lemony colour than those of Chinese/Hong Kong dolls. 

Head Stamped Mexican hybrid

Compared to the American version, her lipstick is much less vibrant, the top layer of her eyeshadow is grey, not lavender. She also has bangs, which isn't limited to Mexican dolls but I've found to be pretty unusual for American ones.  And of course she has the tell-tale super shiny torso with no Hasbro markings. This one is stamped Hasbro on the back of her head.  It is likely she got a 2nd edition Pizzazz leftover head, so the head is probably of much higher quality than a true Mexican doll. 
 

Click here for a Mexican body back view
Again, typical of Mexican dolls, she came with a 1st-2nd year hybrid guitar- it's blue opposed to grey and has a clear decal on the top (with the frets, etc. printed on it)
Mexican Cassette Features Mexican Spanish dubbed Jem songs: 
PIZZAZZ: Tema de Jem, Fuera De Mi Camino, Hagamos Travesuras (Jem theme, Get Off My Path, Making Trouble)