Hi there,
How could affect me if I go to an American Embassy here in Mexico and ask for a tourist visa with a Mexican passport that I obtained in a mexican consulate in the USA?

As far as passports go, the embassies and consulates are only offices that help you to communicate with the Main Immigration office in Mexico. If you apply for Mexican passport in the US, the Mexican Embassy sends the request to Mexico, Mexico issues passport and sends it back to the US for you to pick up. ( Well, they may actually physically mail your application to Mexico - they may have some computerized service - but in essence that's how it works... Main information is relied to Mexico and back to the USA)

If you look at your passport - there should not be a note saying: This passport was issued in the USA, but it should say Issued by Mexico. Is that correct ?