How is this not the case for Latvia and Lithuania (not to mention Estonia), which are both NATO members directly bordering Russia, and in fact separating them from their Kaliningrad exclave? On the other hand, if those countries _are_ an existential threat to Russia, then why is Russia "starting" with Ukraine?
More to the point, who gets to decide what makes for an existential threat? Doesn't "existential" mean "at risk of destruction from"? Does anybody really suppose that a Ukraine that is pro-west, or even belongs to NATO, poses a direct threat of invading/destroying Russia? This sort of language frustrates me, because it seems to carry more heat than light. To your specific hypothetical, I would not welcome a pro-Russia Mexico, but I would not consider it to be an existential threat to the US for precisely the reasons I suggest here - a pro-Russia Mexico does not mean a Mexico that is even somewhat likely to invade the US.