Mexican Shana
In order for this to be interesting, you should probably be familiar with the Chinese/Hong Kong* Shana.  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.

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

What the heck is this?  Close Up of face.  Those Mexican factories certainly liked mixing the heads up.  This one doesn't even seem to be Jem at all, but some knock off head.  She was found (and pictures have been donated by) Debbie.  She was found in the UK in a store that specializes in old stock.
Yet again, there are a few different versions of Mexican Shana, the hybrid left (has a marked head, probably was a left over) and the true Mexican, with the unmarked head, paler skin, etc., this doll was probably completely made in Mexico, not incorporating any Hong Kong/Chinese parts. 

Mexican Hybrid:  This doll was found in Mexican packaging, I'm 100% certain it is a Mexican-sold doll., but she does have a Chinese or Hong Kong made & Hasbro stamped head.
Makes me think about where all the left-overs from the 2nd year dolls went... (since Superstars dolls were the 1st year remnants)		 Mexican head doll: without earrings, has paler skin tone in general, no markings.  This one is actually painted pretty well, for a Mexican made doll.  I am told her hair is a slightly different shade than a regular Hong Kong/China doll, more sparsely rooted.  Thanks to Dawn for this photo.
Hasbro-head Version: The head is stamped Hasbro 1985, but the body is not. It is made of the tell-tale super shiny plastic (torso).  Also of interest is that the head is quite a bit darker in tone than the body.  The rest of the body pretty much matches.  Again, lends to the theory that this Mexican doll (and undoubtedly others) got a reject/leftover China/Hong Kong head. 
Mexican-Made Head:  The head is not stamped, neither is the body.  It is made of the tell-tale super shiny plastic (torso).  Her entire body's skintone (hands and head included) is quite lighter than a normal Chinese/Hong Kong Shana.  Notice the sparse hairline at the base of her neck, typical of the Mexican dolls (lower quality)  
  • Thanks to Dawn for this photo.
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    The following information is from my Hasbro-stamped head version of Mexican Shana.  I am guessing the outfit is typical of all Mexican Shanas.
     
    Her jacket is made of a "pleather" type material, not nearly as shiny as her American one. The same material is used on Mexican Roxy's pants. Her dress looks the same to me.
    The panties look quite a bit paler to me, than the usual ones.
    Her guitar is a darker shade of purple, and is basically a second edition style guitar, except the pattern is printed on a clear decal, instead of being printed directly on the plastic.  Mexican Roxy and Mexican Aja's guitars are made of the same colour material.
    One of the most interesting features of the Mexican dolls is that they actually come with tapes sung in Spanish! ^_^  I can't translate exactly, but they are the same songs as appear on 1st edition Shana's tape in the US:  Jem Theme, Gettin' Down to Business, Too Close, except with Spanish lyrics. Note the date is 1986, not 1985, as a US 1st edition tape is dated.
    Her shoes are similar to Stormer's in colour.  To tell the difference between Mexican and regular shoes, click here.