Humidity, wind, the amount of shade, what building materials/techniques are used in the area, and a number of other factors all do definitely play a part in how dangerous the heat is, and I admit I didn’t dive too deep into it.
I do know that Mexico City was basically built over a lake, so I imagine that the humidity would be fairly high, though right now the weather forecasts I’m seeing don’t look too bad humidity-wise, less humid than where I am, but of course a snapshot of a week or so doesn’t really say anything about the overall climate.