If you believe the media and some eye-witness testimony, the answer is a human-like UFO... or quite possibly a witch.
Footage was aired on television in Mexico. People have come forward reporting a witch flying and taking off. Speculation is still abound. See the actual news report here (in Spanish):
So, is it real?
Apparently, NPR reported a man building jetpacks in Mexico around the same time and using his daughters as test pilots. But there is another possibility...
Judging by the movement alone, I'm leaning toward balloon.
Alas, Dorothy's Mexican counterpart is safe once more...