I am not certain I understand the question, but my impression is that the concern regards the flight from Mexico to the U.S. and in particular what U.S. POE authorities (in Atlanta) might require relative to allowing entry into the U.S.
I assume that Atlanta is a connection not final destination on the return trip as well.
International flights ordinarily involve two types of screening requiring proper Travel Documents (in numerous other countries, there are also exit controls):
-- airline boarding screen, which for flights to either Canada or the U.S. require a traveler to present a proper Travel Document authorizing entry into the destination country before the passenger is allowed to board.
-- POE screen checking traveler for a proper Travel Document authorizing entry into the country and screening to determine whether actual entry will be allowed.
I suspect that chinachan's concern regards the latter: presenting a visa-exempt NZ passport should suffice for boarding the flight in Mexico destined for Atlanta, but will the U.S. POE authorities in Atlanta be satisfied that actual entry into the U.S. be allowed where they do not have a return ticket showing date of departure from the U.S.
Not so long ago the answer was fairly simple: the explanation that they were connecting to Buffalo where they planned to drive into Canada, together with showing some Canadian identification, say a Canadian health card (showing residence in Canada) and a drivers' license (showing actual address in Canada) should easily suffice at the Atlanta POE . . . so long as, of course, there was no history of problems with U.S. immigration.
The reason I distinguish that as not-so-long-ago is that in the meantime those flying to the U.S. (except American and Canadian citizens) must now have pre-boarding authorization. This is a process I am not familiar with. I believe it is not complicated or difficult for anyone with a visa-exempt passport from a country like NZ, but I am not familiar with the process. It may not be required if the flight to the U.S. is actually a return leg in a flight originating in the U.S., but I suspect it is still required.
I believe the airline should be able to answer this. Again, I doubt it is a problem, more a technicality. If the airline does not have a clear answer, you might check with the officers at the POE on the way into the states at Buffalo (give yourselves plenty of time).
In the meantime, as I noted above, otherwise all the travelers need to do is to have some documents in their hands showing they are traveling on to Canada. In addition to Canadian identification the ticket for the connecting flight to Buffalo could be part of that documentary evidence.
Overall I doubt there will be a problem, just some technicalities to comply with.
