There'd be no reason to annex Mexico, we already have free trade with them...
Also, you can say more people=more taxes, also means higher prices for goods...do you want to pay $10 for an apple?
When people become legal they are going to want at least minimum wages, on the books, for benefits and such.
Right now, most farms are being ran by illegals, who are getting paid off the books, at under minimum wage, with no benefits. That means less overhead, which means lower costs. Change that to legit wages, and prices will go up.