The problem is that neither CO nor NW have a published fare between CUN and GDL. Therefore, the itinerary will not price as a circle trip since there is no published fare for the middle leg on either of these carriers.

To book this trip on CO, for example, you have to book an open jaw (ORD/CUN-GDL/ORD) and then buy 1-way tickets from CUN to IAH and from IAH to GDL.

There are no US carriers that have a published fare between CUN and GDL. However, you can book a circle trip using MX flight numbers. From ORD to CUN it is an American codeshare, from CUN to GDL it is an Aeromexico codeshare, and from GDL to ORD it is a regular MX flight.