Disregarding your error for a moment, I think you can only transfer domains from the .com, .net, .org and .info TLDs to DreamHost.
You can still host the domain here, but you will need to leave the registration elsewhere. To host it here, simply change the name servers at your registrar to...
Then add the domain to the DreamHost hosting system via Domains -> Manage Domains -> Add New Domain / Sub-Domain.
If adding the domain this way throws an error about it being a sub-domain, you may need to do a work-around to get it into the system. You could try adding org.mx to the system first, then adding domain.org.mx. This will result in an extra web directory for org.mx in your home directory, but you can just ignore that.
Note: After changing the name servers for your domain, there will be a delay (upto 72 hours) for the new DNS information to propagate across the Internet.
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