How do I add US Holidays to my iPhone while living in Mexico?

See if anything here helps:

View the Holidays calendar for other regions - Apple Support

Here's a site for lots of calendars you can subscribe to:

http://icalshare.com/

If you have a Mac, once you subscribe to a calendar, you should be able to see it on all of the devices on the same Apple ID.

You should also be able to see the U.S. Holiday calendar if you change your region to the U.S.

There's nothing unsafe about a third party calendar. You can also purchase calendar apps (Week Cal is one I recommend) that have a variety of calendars.

https://mashtips.com/add-holiday-calendar-on-ios/