I actually found this information at this website location:
http://www.jewishgen.org/infofiles/us-ssa.txt . Unfortunately, I think this means our relatives could've been almost anywhere in Mexico (except maybe Merida?).
IV. Country codes for places of death outside the US.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
This chart shows the codes assigned by the SSA for places of death when
outside the US. The city names (in parentheses) represent the American
embassies or consulates to which the death was reported.
773 Mexico (Mexico City)
774 Mexico (Merida)