The problem with individuals is the same problem corporations and the like tend to have. They might involve a fun idea to think up, but when it comes to actually writing story arcs you end up stuck. The nations you'd most likely want to play in are being ran by RPers already, who's ideas you'd have to follow. And the game itself involves large, sweeping events that an individual would, at best, get to be a commentator on.

I did RP an individual in America a long time ago as a way to fix some of the problems that continent had, and it seems to have worked. America has at least been viable ever since then. But I did this for mechanical reasons, with the specific goal to repair some confusion rather than do anything particularly awesome, and I did this while retaining the ability to RP Ethiopia. Most of those Dixon America posts were Meetings, after all.

The best course of action is to pick a relatively small state that isn't very involved and see what you can do with it. This is the success story that Spain, Ethiopia, Armenia, and Persia all seemed to have followed. Big nations tend to overwhelm, and nations that are already involved tend to cut down on creative control. In this way, Mexico isn't a bad choice.