U better get the visa before

you better get your H1b visa before going to mexico city. Do you want to spend all your time in mexico getting the visa? What happens if your application is checked? It will ruin your vacation plans.

2. 有效的返美签证, it means you have to have a valid US visa, which in your case would be your H1b. The mexico government is afraid that you may want to remain in their country! That is why they are asking all these things. Sure, if you don't want to, then don't provide them with the documents they asked, then if you don't get the visa, you have only yourself to blame.