He certainly portrays himself as Mexican, whether or not he actually says it (which he might have, I don't know).I'm sure 99% of his audience is under the impression that he is Mexican.
Edit: Actually I'm pretty sure he does say that he's Mexican, referring to himself as a beaner and a wetback, etc.
that's just not true. in fact, in the 'comedy central presents' he has a bit making fun of this very thing. when he goes to LA, he's mexican, but when he goes to Miami, he's cuban.
those racial slurs may be directed at mexicans for the most part, but come on, let's not kid ourselves, it is pretty much fitting for most of central america as well.