Not only can we ask the question: If he didn't go to Mexico City then where was he over that week or so? We can also ask how did those who allegedly impersonated him know where he was in order to pull this plan off?
What would happen if he had stayed in New Orleans and had been seen by people who could give him an alibi? In order to frame him for going to Mexico City he can't have an alibi, he can't be seen by others at that same time. So these supposed agents who framed him would have to be confident (wouldn't they?) that for those eight days Oswald would never been seen by people who could expose this act.
This is the same type of question for those who say he was framed for shooting JFK. How did the framers know where he was at 12:30?
Do the conspiracy believers really think this is all possible? Are there any limits on the ability to frame him? Any at all?
If the conspirators controlled the narrative after the fact, it wouldn't have mattered if people had seen him somewhere. Their testimony (if it ever came to that) would simply be dismissed as mistaken. Odio claimed she had seen Oswald, when he was supposed to be in Mexico, and the WC simply said she was mistaken.
There are all sorts of examples of pro-Oswald evidence being dismissed. Some, potentially crucial, witnesses were simply not called to testify at all. Others had their testimony tampered with, were (unfairly) discredited and/or were publicly ridiculed.
You make it sound so easy for a pro-Oswald witness to come forward, and perhaps nowadays with social media it is, at least to some extend, but back in 1963 with limited communication possibilities and a lot of people being fearful to come forward or go against the Government, it would be a very different story.