I'd highly recommend going to Mexico. To begin with, the area where the caves are is very beautiful, with white sand beaches and turquoise water and lovely resorts, so a trip there is truly a vacation. That beats staying in the High Springs Country Inn and eating at diners . . . Also, the caves are shallower in MX, which means longer bottom times on the permissible gas supply for beginners, which means more experience. Learning in low flow makes the process a little less difficult, because you are focusing on technique and not coping with being blown about, and the physical work is easier. The water is also warmer, which reduces stress.
If you do your training in MX and go to Florida, it's not a bad idea to get some coaching on managing high flow. But that's not difficult to come by.
I've trained in both places, and I'm glad I started in MX.