According to http://www.redhat.com/support/manuals/RHL-6.2-Manual/ref-guide/s1-kickstart2-commands.html us_MX is a valid language setting, but does not appear on CD in /usr/share/locale ; Additionaly, documentation has many less options then seem on the disk.
verified ... the install sig11s for this case ... thanks for the report!
The docs are wrong, it should be 'es_ES'
Thanks for catching this - I have changed it in the manual for 7.0.
The change smoore referred to will be reflected in the next version of the Red Hat Linux documentation. Thanks for the feedback!