Just anecdotal, but mexican social media is saying that caravan is heading to Reynosa (across from McAllen). It would make sense since it is one of the closest crossing points, the closest being Matamoros (Brownsville)
The funny part was reading posts of mexcian people pissed when they saw the video of the caravan tearing down the gate and crossing into mexico. Oh, the hypocrisy was delicious. Some were calling for Trump to help and some declaring their sovereign nation was being invaded and they needed military intervention. Some were just ridiculous stating that trump didn't distinguish between the central americans and mexicans and they were making the mexicans look bad.