Nonsense. The USA has no say in Mexican law. It would be more akin to Alaska being told what they can and can't do by the USA - Alaska is part of the US and has a say in the laws that are applied to all States. Then Alaska deciding they don't like the laws that they helped create, and leaving.
Unfortunately the promised sunny grasslands full of pots of gold just outside the clearly marked Exit door now appear rather barren, the exit requires a large toll, Alaska can barely find the door, let alone squeeze through it, and our Russian friends are rubbing their hands with divide-and-conquer glee.
I'm afraid your analogy shows you do not understand this well at all. When the UK signed up in 1975 to the European Community, it was rationalised to UK voters as an economic / trading club. Alaska meanwhile, is a constituent part of a single federalised country.
Herein lies the simple reason for the political divergence between the UK and the EU since 1993, and subsequently the Brexit vote. The UK was sold on the benefits of being part of a large economic and trading union. The rest of Europe was to a greater or lesser extent from the beginning, pursuing a political union (see Treaty of Rome 1957 - "ever closer union"). Since the UK acceded in 1975, through subsequent treaty change there are now well embedded political concepts such as an EU Presidency, court, citizenship, flag etc...
By example, most in the UK looked at the single currency project and thought it mad, as from a purely economic perspective it makes little sense, with only quite minor benefits to transaction costs but potentially huge downsides from the centralisation of monetary policy (and eventually fiscal policy too).
But for the core European countries and the Commission, the Eurozone project made perfect sense, as a tool towards deeper political integration in the future. The Eurozone would by now have likely failed had the European Central Bank not effectively pooled nation states' sovereign debt through quantitative easing. The financial system in key countries (not least Italy) would also have collapsed without the Target 2 mechanism for correcting capital imbalances between Eurozone members.
But there's a democratic problem still to be solved there. It's unreasonable to expect taxpayers in Northern Europe to assume the debt risk of other members that may for example have a far looser fiscal policy and more cavalier attitude to tax collection. The clear solution is a common Treasury and common Debt Management Office, to allow the underwriting of all sovereign debt across the Eurozone, and transfer payments to areas of weak employment/economic activity.
At this point, you are really very far down the road to full federalization. Security/foreign policy would arguably be the only core national policy area still sitting with national governments but even here, there are steady steps towards a common foreign policy (there is an EU Foreign Minister) and if M. Macron gets his way, the pooling of armed forces too (partly in response to Trump's undermining of NATO). This is far beyond where much of the Brexit debate among UK politicans and the media rests, which is driven by whether the UK has sovereign decision making powers to the challenges and opportunities of globalisation (largely surrounding trade and immigration). But they are actually highly relevant concepts to the average voter who ticked Leave.
Whether you think the political project is a good idea depends at heart on your view on what government exists for. If like me you believe that decision making is generally at its most effect when it is accountable, transparent and localised (ideally at the level of the individual), then there are quite clear downsides to the EU model of governance, which even its cheerleaders would acknowledge has problems with transparency and accountability. As for localised, well it's quite clear that the treaty concept of "subsidiarity" (decisions to be taken as locally as possible) has been quietly put to bed.
But many of my European friends are quite ok with this trend towards full federalisation. For many countries, there are quite obvious historical attractions to either grouping under the protection of larger neighbours or else using the European project as a backstop against slides towards nationalism, autocracy or hyperinflation. There are after all very few countries in Europe that in the past 100 years have not lived either under autocracy or foreign occupation (or both). Conversely in the UK, I'd suggest for quite clear historical reasons, the federal Europe project is a very fringe goal indeed. Given the likely destination of the EU and cultural norms in the UK, Brexit is therefore arguably an inevitability, whether it happens now or in the future.
A clean and amicable solution to the UK's relationship with the EU is hence strongly in the interests of all Europeans.
So when other posters say Brexit was mainly about "sovereignty", they are exactly right. Meanwhile people that are quite unfamiliar with the arguments and the cultural norms in the UK have lazily tried to ascribe racism to the Brexit movement and project their dislike of Donald Trump to a quite different cultural phenomenon. There are those who say that this argument is silly, that the nation state is and always has been sovereign to the EU and that just as the UK Parliament voted to join, the UK Parliament could vote to leave. I'd counter that what this current political chaos is really showing is just how much sovereignty has already been ceded, given how difficult it seems to be to properly execute the UK's departure.
