Cambodian border would be OK, just avoid POI PET. The Myanmar border with Kanchanaburi I not sure if they stamp Mexican passport. If you fancy a trip by air you could frly to Chiang Rai and cross at Mae Sai. or fly to Udon and cross at Nong Khai. I will also quickly check entry requirements for Mexicans at Malaysia.
as a curious person I wonder why someone want to fly to Ubon, do a crossing to Laos (pay Laos arrival visa), stay a night there, afaik nothing there and return. There would be easier places to go.
if you have no visa history in Thailand the Thai Immigration, most likely, will not ask. However the airline at Check in, most likely, will ask for ONWARD travel ticket, as they do not want to take responsibility in case you denied entry.
you will be send to the holding room at Airport, THB800 a night. In the meantime airline will fix your flight. It is up to airline and the countries to where they send or which country will accept you. Immigration has no say in this situation. Once this is settled (BTW passport stay with Immigration til the airline staff send you to check in n than the flight crew keep passport till your destination). All in all a humilitating process as they treat you like a criminal.