We don't have to. You have to show us his Parent's renunciation of citizenship statements. Till the United States Government stopped regarding them as citizens, they are citizens. If they have a child, that child is a citizen. We don't care what Mexican law says about it.
If they did not overtly renounce their citizenship, they still possessed it, and passed it on to their child.
The United States stripped the Romney family of their citizenship for their illegal practice of polygamy in Utah, which is why they emigrated to establish a polygamous colony in Mexico. It was the Edmunds-Tucker Act that punished them for their illegal acts of polygamy, and the act was upheld by the Supreme Court of the U.S. in 1890.
Please show us the naturalization records or other act which restored their previously forfeited U.S. citizenship.