Most of the online agencies DO NOT allow this to be a feature of a booking. Although many places actually do allow it if you turn up at their offices off the street and request it. Sadly this does not always get the best rates.
What you find, in all the main US cities near the border, is that most of the agents for the smaller chains will allow it, but the larger chains (eg alamo, hertz, sixt) don't. A bit of legwork is needed, but it is not too much trouble. I can personally recommend Advantage rent a car in San Diego, on the marine drive. When we were over in Cali, we had to drop our Alamo car at San D and switch to an advantage car to go on into Mexico. In San D there were many places offering mexico insurance, but all were the smaller chains with older fleets. I imagine most other border cities will be the same. Haggle a bit with these and you never know!
Driving into Mexico, now there's a scary experience. Get EVERY insurance going and use the toll roads. At traffic lights/stop signs DO NOT leave windows open and never stop for anyone flagging you over, except for a policeman. Contrary to popular rumour, most Mexican drivers are quite polite and follow standard rules of the road. There are just few lights/signs and many big holes. Enjoy!