The presence of a Saguaro Cactus at the border sets the action in the Sonoran Desert, as the Saguaro grows only there.
Daffy casually mentions two famous Gene Autry films during his initial conversation with Speedy: South of the Border (1939) and Down Mexico Way (1941). The films were, in turn, named for the song South of the Border, Down Mexico Way, first published in 1939.