The 32-year-old Liverpool forward had been considering retiring from international football following the death of former Wales manager and close friend Gary Speed in November.
It was believed Bellamy's appearance as captain in February's Gary Speed Memorial Match against Costa Rica would mark his 68th and last cap.
But he could now continue playing international football into Wales's qualifying campaign for the 2014 World Cup in Brazil.
The May 27 match at New Jersey's MetLife Stadium will effectively be former Wales defender Coleman's first match in charge of his country.
He took a 'watching brief' role against Costa Rica, with assistant Osian Roberts, who had been a member of Speed's backroom staff, preparing the team for that fixture.
Coleman's squad for the Mexico match includes Tottenham winger Gareth Bale and Arsenal midfielder Aaron Ramsey, both of whom could feature in the British team at the London Olympics.
Mexico should prove tough opponents for Wales as the South Americans are 20th in the FIFA World Rankings, 21 places above Coleman's men.
After playing Mexico, Wales host Bosnia-Herzegovina in August before beginning their World Cup qualifying campaign against Belgium in September.
Wales have not played in the finals of a major international tournament since the 1958 World Cup in Sweden, where they lost 1-0 in the quarter-finals to eventual champions Brazil.
Wales squad to play Mexico
Goalkeepers: Jason Brown (Aberdeen/SCO), Lewis Price (Crystal Palace/ENG) Rhys Taylor (Chelsea/ENG)
Defenders: Darcy Blake (Cardiff) Neal Eardley (Blackpool/ENG), Chris Gunter (Nottingham Forest/ENG), Adam Matthews (Celtic/SCO), Sam Ricketts (Bolton/ENG), Neil Taylor (Swansea), Ashley Williams (Swansea)
Midfielders: Joe Allen (Swansea), Andrew Crofts (Norwich/ENG), David Edwards (Wolves/ENG), Andy King (Leicester/ENG), Joe Ledley (Celtic/SCO), Aaron Ramsey (Arsenal/ENG), David Vaughan (Sunderland/ENG)
Forwards: Gareth Bale (Tottenham/ENG), Craig Bellamy (Liverpool/ENG), Simon Church (Reading/ENG), Steve Morison (Norwich/ENG), Hal Robson-Kanu (Reading/ENG), Sam Vokes (Wolves/ENG)
Source: AFP
Source: AFP