I can't help you on the particulars of having a baby in Mexico, but I *can* help with some of the unspoken ones; I have four kids, and was an RN in L & D for five years.
Start now looking for a good prenatal class. You cannot possibly be the only pregnant English speaking person in your area. Being educated as to the changes in your body during pregnancy, and the process of birth can really help with the fear. And it's fear of the unknown, not the birth process itself, that leads some to "screaming in agony."
If you have an e-book reader, then you have a wealth of information at your fingertips.
Find a forum that's populated by sensible parents, and hang out. You'll find out that your worries are probably universal, and nearly universally unfounded.
LOL, I worked in the newborn ICU when I was pregnant with my first. Talk about going through unfounded fears! All I worked with were severely ill newborns, for the entire nine months.
Your most important job during this time is to learn as much as you can about the process so that when it happens, it will be more like dealing with a crabby relative you've never met, but who you've heard so much about that you know all about him. He's not fun to deal with, but you'll been taught methods to handle him.
It's called "labor" because it's work. Not because it's agony.
You'll do fine. Your husband and your baby will do fine.
If you want some suggestions for reading, you can PM me.