While you premice is highly doubtful that Shelby would have been able to gain the support of England and France better than Lee, there is a reason behind why Joe shelby and others in the Trans Mississippi Department did not surrender and went to Mexico.

In the OR's in the latter day of the war (I believe late April 1865) there is a UNION scouting report given which outlined the disposition of the Trans Mississippi Army. The report said the the Confederates were expecting Jefferson Davis in his flight from Richmond to cross the Mississippi River, somewhere near the Arkansas/Louisiana Border, specifically Gaines Landing. I was brousing throught the OR's reading about stuff from the Trans Mississippi when I ran across this report which was quite lenghty about 4 pages, and unfortunately did not record the citation information so I'll have to search again for it.

The supposed purpose of Davis' mission at this later stage was to continue the War in the West by concluding negociations with Maximilliam of Mexico, which had appearently already been started by some other repersentative (maybe Kirby Smith). These negociations were that the western Confederate states and territories would become once again a part of Mexico and thereby fall under the protection of Maximillian and France.

Maximillian was supposedly acceptable to this idea because Lincoln had tryed to start an overthrow of the Maximillian Government in 1864 by get Santa Anna to reinvade Mexico from Cuba.

There evidently were a lot of things going on behind the scenes which we, even today, do not know much about. This sort of gives a new light on the western Confederate Commanders like Joe Shelby and Sterling Price going to Mexico at the end of the war.