An artist could create a story in which a white person dies and goes to a fictional and magical Japan or a fictional and magical Africa, and it wouldn’t be a problem because there are no limits to fiction. But if they made a story in which a Mexican person dies and goes to a magical and fictional Europe, there would be problems. Why are there no limits for white people in fiction, but are there limits for minorities?
Like some of the other commenters here, I would not be surprised if that were so. Because racism.
However, I wonder if the premise of your question is true. Are there really no stories about Mexicans in fairy tale Europe? Or Japanese at the court of King Arthur? Or would they have you justify it more than a European in Wakanda? I’m sure Hollywood would care less about these stories but does that mean no one cares? I’m not sure. And since I’m not reading a lot of Mexican or Japanese authors I can only speculate.
The allure of stories like these is the unknown factor, the exotic, the strange. Thanks to centuries of colonization of the rest of the world, Europe is not exactly unknown or considered to be an exotic place in the rest of the world. This might contribute to a cultural bias.