@Inès ************
, make SURE that the paperwork you have from your school is NOT addressed specifically to the thai consulate in Mexico because if it is you will need NEW paperwork to go to another consulate.
Most times all you need from the school is a new 'cover letter' as the main documentation isn't addressed to any consulate.
BUT you will wanna check that BEFORE you go to another consulate to apply for your ED visa.