Here is an excerpt from a book entitled "Old Guard in Gray" by J. Harvey Mathes. It does not elaborate on Mexico, but does mention Mexico. No mention of the wife.

Harris, Isham G., Governor, and as such commander of all State troops until transferred to the Confederate service, entered the service April 1, 1861. After the transfer he continued with the Army of Tennessee to the end of the war, as a civil officer and without command. Was with General Albert Sidney Johnston at the battle of Shiloh and held the General in his arms when he bled to death from a wound. After the surrender he went to Mexico on horseback, accompanied by a faithful colored servant. Governor Brownlow had offered a reward of $5000 for his head, and this stood until after Governor Harris went to England and returned to this country.
Governor Harris and General Pillow entered upon the practice of law in Memphis about the year 1868. He is now serving his fourth term in the U.S. Senate, and seems endowed with all the energies and powers of endurance of a man of half his age, and is recognized all the country over as a leader in the Democratic party. He is the last of the war governors living, North or South. He became a member of this Association (Confederate Historical Assoc.)July 1, 1869; was elected President and served as such for two years, attending meetings regularly and presiding with as much formality and decision of manner and regard for parliamentary propriety as if he had been in the U.S. Senate.