They are not U.S. citizens and she is illegally here. He wants to file in Mexico where he has resided the last 3 years. They were married in Colorado. Can he file in Mexico? Would she have to appear there? They have a daughter involved who is with the mother and he wants to see her. How would he go about this without costing a lot?

Where does she live and for how long?

Where they were married does not matter.

If he wants to see his daughter he has to request visitation. I trust he supports the child.

He can file if he meets the requirements for divorce in Mexico, no she does not have to appear, but can ignore and lose.

Since mother and child still live in the US, by US law, any custody order or any support orders will have to be file where the mother and child live.

She's lived in Denver, Co, Not sure how many years, but a few. Yes he supports her and would love to have time with her. Can he request visitation when he files in Mexico or does he need to go through Colorado?

He files where she resides. Of course, if she's illegal that could be Mexico (if she's reported).