It doesn't sound like the OP is actually asking for advice but rather saying "this is what I am going to do, feed my ego that it will work"...

Aside from insurance and liability issues with bringing a Mexican plated rental car into the US (if the rental company will even allow it), you WILL be targeted by cops and immigration agents.

The best advice is to advise the rental company of what you plan to do and see what they say. Just as US plated cars are specifically prohibited from being driven into Mexico (meaning that the chance of finding a US plated car that needs to find its way back to the US is slim to nil) unless the rental company is made aware of it (even then it is often not allowed), the reverse is often true.

If you get pulled over in the US (likely with a Mexican plated car) and the contract states that driving into the US is prohibited (or the cop calls ENA Loss Prevention who states that the car wasn't to be driven into the US), you face forfeiture of the car, being placed on the DNR list with ENA, and possible jail time and very expensive fines and fees