I know of a Mexican bakery on 9th ave. and 47th St. (or 48th??? on the W. side of 9th.) I don't care for Mex pastry so I can't say if it's good or not. I also remember seeing a place on 1st ave. at around 4th St. that is a Mex. bakery too. I have no idea if that place is still there. Hope this helps.
It's not what you asked for and I'm off-topic for the board, but after a few yuppie and yuppie-mexican meals (at least by Sunnyside standards...by Manhattan standards we're talking intrepid authenticity) at La Flor (the great but anomalous eatery at 53-02 Roosevelt Ave, Sunnyside, Queens; 718-426-8023) inevitably finished with their excellent cookies (the only excellent cookies for many miles) and such, I tried some of the mexican bakery products they also offer. This stuff is nearly hidden; I've never seen a gringo order any.
They redefined the genre for me. Blew away La Espiga, blew away some great Mexican pastries I had in Tucson. Worth a trip to come and check 'em out. Take the 7 Train to 52 Street and you're there.
re: Jim Leff
Wow, thanks for the recommendation. And you described exactly what I want: cookies/pastries. I had some coffee bread and also pan dulce in Ensenada and San Diego, respectively, which were utterly fantastic and I must either find a way to bake them or buy them here. If you have suggestions for the actual cookies you ate, or the pastries, please post 'em. Thanks again. (I love plain, lightly sweetened, bready pastries, kind of like scones -- and I think Balthazar makes the best (oat and current) scones in town.