There are a few honorary consuls for other countries (e.g. Ireland) in Pittsburgh. Obviously there hasn't been a lot of Mexican immigration to Northern Appalachia, which might explain the dearth of consulates. That could change (I suspect it will sooner rather than later) and there are important links between Pittsburgh and Mexico:
The rise of Los Acereros de Pittsburgh in America's southern neighbor can be traced, like so many Steelers fandoms, to the team's dynastic success in the 1970s. At the time, the Televisa network began frequently broadcasting Steelers games because they were the most successful team. And Mexican fans responded, with the Steelers emerging as a rival to the Dallas Cowboys - a more geographically appealing success- as the most popular NFL team in Mexico.
I became a Steelers fan the same way and a connection to the City of Pittsburgh was forged. I think putting the cart before the horse would encourage more Mexican immigration to Pittsburgh. Mexicans living in the void of Northern Appalachia could come to Pittsburgh to take care of business at the consulate, instead of making the trek to Indianapolis or DC. Also, I would bet that there are more Mexicans travelling through Pittsburgh than anyone realizes.