Thank you for contacting the UN Statistics Division (UNSD).
You are correct, Mexico is in the continent called North America. In fact, there is no continent called Central America. However, we refer to Central America as a geographical region, not as a continent.
There are seven continents. For statistical purposes, these seven continents were divided into over 20 "regions" that are so drawn as to obtain greater homogeneity in sizes of population, demographic circumstances and accuracy of demographic statistics. The continent of North America comprises the regions Northern America (021), Caribbean (029), and Central America (013). Another example is Russia -- it is in the continent of Asia but it belongs in the Eastern Europe ("region"). This nomenclature is widely used in international statistics but it is by no means universal.
Hope this helps clear things up a bit. For more, visit:http://unstats.un.org/unsd/metho