Revive Old Claims is a generic focus that randomly adds a claim on a nearby state. Mexico doesn't have its own focus tree yet.

edit: oops, yeah, I have no clue whatsoever why it's going after the Danish mainland. As far as I can tell, it selects a random nearby country and claims a random neighboring state (if there's no pre-programmed claims, that is). My best guess is that it considers Denmark to be "nearby" because of the Danish West Indies, but because it doesn't neighbor any Danish states, it just selects a Danish state that neighbors somebody else. The same thing actually happened in my game; it initially showed a claim on Texas, then later changed to a claim on a state in Denmark. Pretty goofy unintended effect; I presume it'll either be changed to give fixed claims or it'll become irrelevant once Mexico gets its own focus tree sooner or later.