Mexican Roxy 
# 4206/4010

In order for this to be interesting, you should probably be familiar with the Hong Kong/Chinese* Roxy.  Assuming you are, let's begin!
This doll was bought in Scotland, along with other Mexican Jem dolls- how they got there, I don't know, but 2 out of 3 of the Mexican Jem collections I know of ARE in the UK!  The differences, like those between Mexican and American Jem, are fairly subtle to the casual observer, but for a Jem fanatic (which, if you are reading this, you probably are!) they are striking.

*Chinese/Hong Kong made dolls are those typically found in the US, Canada, Australia, most of Europe.
Her face is pretty much the same, her flame is on the greener side of the scale.  The head didn't stay on well, I'm told, pointing to shoddier workmanship.  Perhaps over time the skin tone fades, or, she was made with paler vinyl, notice the difference in tone between her head and her shoulders.  (This also seems typical among Mexican made dolls).  My Mexican Roxy also has very silky fine hair, I haven't felt hair like this on any Jem doll before her.  Her head is not stamped at all, there are no Hasbro markings on her that I can find.
The shirt is made of even somehow flimsier material, very see though.  It's the "dangly/shiny" fringed version, not the looped cotton threads.
The most striking difference between the dolls is the pants- you will notice there are no colour splotches and they are made of a more matte, leathery texture (so far all the lamé fabric has been reproduced in Mexican fashions with this material), the same as Mexican Shana's jacket. They also have no slits up the sides from the hem, indicating they are cut from an earlier pattern.
The second most obvious difference is the belt.  There are no silver diamond stickers, there never were.  Of course these can easily be faked or confused with loose belts missing the stickers!
She came with a plum-purple pair.  To tell the difference between Mexican and regular shoes, click here. 

I assume she came with at least one Misfit bracelet (even Mexican Jem/Jerrica got one!)
 
The Mexican Jem dolls came with a Spanish tape, music the same but vocals dubbed in Spanish language.  There is also unsurprisingly, Spanish text. The songs included are the Spanish versions of the Jem theme, Click/Clash, and Takin' it all (just like her regular tape). 
Tape says: 
Jem, Roxy "Tema de JEM" "Click/Clash" "Llevatelo" 
Lado A (Side A) 
1986 Sunbrow Productions, Inc 
1986 Star Wild Music, Inc 
1986 Wild Star Music, Inc 
1986 Hasbro, Inc. 
Side B says exactly the same except "Instrumental" 
Her back, like Mexican Jem's is devoid of any markings.  Surprisingly, even her head is not marked. It's the super shiny body as well.  (Mexican doll front)
Interestingly, though she came in a 1st edition box, she comes with a strictly second edition guitar.  The colour is a lot darker and blue-er shaded than her regular 2nd Ed. guitar, and comes with a clear decal on it (of the strings, etc).  It is also slightly shorter than typical guitars. 
  • Thanks to Thumper for the photo & info. 
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    Mexican Roxy's stand (above) with no "TM" mark below the Jem Logo. It's of the earlier, clear variety. A regular Misfits stand, with the TM mark below the Jem logo.
    The yellow stand on the left is a regular Misfits stand.  The greenish one came with a Mexican Roxy. 
    The box- It's in the first edition-shaped box, but, at least this Roxy came with a see-through sparkle guitar, exclusively found with 2nd edition dolls in the US/Canada. 

    She also came with the first year Jem Illustrated poster, with Spanish text.

    Thanks to Laura (Badgerprincess) who contributed most of the pictures and information to this page! (all the digital photos, the scans are mine and Thumper's)