Mexico City is the capital city of Mexico.
Richard Lumley retired S.H.I.E.L.D. following a mission to secure an 0-8-4 in China where most of his teammates ended up being killed, and the survivors, including his partner Linda Avery, were killed upon returning to the United States and placing the 0-8-4, an infant Skye into the protection of the foster care system. In order to avoid the same fate, Lumley went "off-grid" the day after Avery was killed.
While investigating Skye's past through a lead on Avery's identity, Melinda May was able to locate Lumley in Mexico City, as he appeared in the background of a photograph taken by a Mexican teenager. She enlisted Phil Coulson's help to find Lumley in Mexico City, in order to distract him following his kidnapping by the Centipede Project and his discovery of the truth regarding his recovery at Tahiti following his death.
Coulson and May traveled to Mexico City, and waited outside a dress shop that acted as a cover for a identity document forge, as Coulson guessed that if Lumley was going to acquire ID documents in order to disappear, he would use that particular forge, as the shop owner didn't use computers to do it.
While waiting, May asked Coulson what would he do if he wanted to disappear just like Lumley did. As Coulson didn't want to chat, she started revealing she would hide in a 747 flight from Newark to Singapore with oxygen and a parachute, as that flight passed over a dozen countries, so she would be hard to track. She then guessed that Coulson would go to South America as he spoke Spanish, though Coulson corrected her that he spoke "vacation" Spanish, but May dared to guess that Lima would be his most probable destination.
Coulson asked May what was happening, and why she was more chatty than usual, but May replied that it was simply because he was not. Coulson also asked the true reason why she suddenly became more active investigating Skye's past. May felt that Skye deserved it, as she greatly helped their team, specially Coulson. But she also revealed that she investigated it to distract him, as he realized his memories were rewritten, so he was wondering what else was changed. May told her nothing more was changed, as she knew him very well, at that moment and before his death.
She tried to gain his trust, telling him that she would help him investigate if he was changed if she believed it was not a dead end. Coulson was tired of all secrets being kept to himself or his team, and he felt they needed to uncover all of them. Hearing those words, May revealed she had been having sex with Grant Ward.
However, at that exact moment, Coulson saw Lumley and they went to follow him. Lumley noticed May following him, and he tried to escape through an alley, with May in pursuit. Lumley managed to catch her by surprise and fought May, although he was overpowered and tried to swallow a Cyanide Pill to commit suicide. May prevented him to do it, but he used the opportunity to knock her down and try to escape.
Coulson blocked the alley with Lola, so Lumley tried to climb the fire escapes of the alley to escape. Coulson activated Lola's flight mode, and identified himself as a S.H.I.E.L.D. agent, something that Lumley was very relieved to hear, as he thought they were the same men that killed Avery, and he asked Coulson if they were there to speak about the baby girl. Coulson and May then took Lumley to the Bus in order to ask him about what happened with Skye.