M. A. Morón et al. (editor). 2003. Atlas de los Escarabajos de México. ISBN : 9788493184759

See here: http://www.pemberleybooks.com/product/atlas-de-los-escarabajos-de-mexico-coleoptera-lamellicornia-vol.-2-scarabaeidae-trogidae-passalidae-y-lucanidae/6299/

There are thousands of Coleoptera species in Mexico of over a hundred families. Please can you specify which groups are you speaking about? The complete ID guide to Mexican Coleoptera does not exist but there are published keys to certain groups of Coleoptera

Yes, as Dmitry wrote, one need to know the exact group/groups you are researching on to advice you on certain literature sources for identity keys.

For a generic introduction on the different families, it is helpful, though old, the Biologia Centrali-Americana.

It is also available on the Web: http://www.sil.si.edu/DigitalCollections/bca/explore.cfm 

This is the link to the Mexican Entomological Society, I am sure you can find the specialists and information you need.

http://www.socmexent.org/