In an interview with InsideGamer, Rockstar's Dan Houser told that America is such a big part of the GTA-games, that the series would lose its universal appeal if they were set in some other part of the world.
Dan Houser: "You know, you could make a great game set in Amsterdam. Would it be GTA? I don’t know.
We haven’t done it, so I can’t really offer a comment or an opinion on it. We’ve avoided it because we think that part of the experience of GTA is its engagement with America, or American media, American movies, American culture or whatever. Some kind of Americana is such a part of the games, that in removing that, it would bizarrely make them lose their universality.
Three Playable Characters
Houser also commented on Rockstars decision to create three playable characters for GTA 5, stating that it took only a few e-mails to decide on the matter. "We don’t really have (meetings). It’s all a few emails, it’s quite weird."
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Edit: oups, just realized they already went to mexico
I dunno, the game would get bans I'm sure of it... but then again, there was "The Getaway", even so, I think GTA is much more hardcore than that game, and governaments know what game it is...