The rule is that your PIR has to be arranged through the airline you travelled with, so raising one direct with BA will only see it closed with no action taken. As above, keep the details updated and you’ll get the bag eventually. It’s fine to say you’ll pick it up at the airport, delivery is more for your convenience than anything else. If the report already says delivery in Mexico there’s every chance BA will just put it on their own direct flight rather than sending it via Spain.

I’m on a similar route later this month and secretly hoping the same thing happens, I there’s a few things in Zara I’ve got my eye on and it would be great for IB to pick up the bill