My question is,do illegal mexicans have to return to mexico to apply
To be legal?

Undocumented alien visitors to the US would need to return to their own country of citizenship to apply for proper visas to enter the nation.

The exception are the few times that there was a forgivenss program of some sort to allow them to remain.

my question is,do illegal mexicans have to return to mexico to apply
to be legal?

If they enter US legally.. have visas but overstayed... NO.
If they entered US illegally... without inspection, no visa, etc. YES.

This apply to all, not just Mexicans.