Do have proof that your life was at risk in Mexico. How long have you been visiting Canada and why did you not claim asylum initially if your life was at risk? Is there something that lead to your ETA being cancelled? How. did you realize your ETA was being cancelled? Had you applied for a new flight to leave and reenter Canada? I would suggest consulting with an immigration lawyer about your case before claiming asylum to know whether you have good chance of being approved because being denied has significant longterm consequences. Even getting approved can have significant consequences when it comes to being able to return to Mexico or having family members be able to visit, work or study in Canada.