That would probably easiest! Or if you live in one of these states:
Aguascalientes, Chihuahua, Estado de México, Jalisco, Michoacán, Nuevo León, Puebla, Querétaro, Veracruz, Yucatán, Zacatecas
Then you can get it from the state office there, and don´t need to go to Mexico city for the PGR...