I recall some discussion on MSNBC, both with Maria Hinohosa and another prominent Latina spokesperson (name escapes my memory at the moment) were discussing the issue of Trump supporters among Latinos throughout the "sun belt" and the southwest.
It seems to be about Macho thing AND the strongly held view that Mexicans coming through the border and enter illegally should not be allowed in this country, they seem to have a visceral dislike for their presence in this country. They also said it's complicated and not completely clear but those two things seem to be dominant.
But that certainly doesn't explain taking membership and allegiance with White Supremacists. I think you're on to what appear to be a bizarre denial about their own ethnicity.
However, this brings to mind my very own half sister who is often mistaken as a Mexican, but is actually half Hawaiian and Caucasian.
She is a Trump supporter, is anti-immigration and speaks about the issue in bigoted manner. Even though she has herself been treated disparagingly by bigots within her church community.
The psychology of this is beyond my abilities, but I feel like it's an issue not to be ignored but better understand. If possible.
I say this notwithstanding that it is impossible for me to understand or view in any way other than pity and in some cases contempt.
Admittedly that remains my own failing.