No doubt they were just trying to visit their relatives in San Diego. From [1] AP, with thanks to all who sent this in:

MEXICO CITY — Mexican agents in Tecate captured two Iraqis who had hoped to sneak into U.S. territory without proper documents.

Federal authorities say Samir and Munir Yousif Shana told investigators they were contacted by a person in their hometown of Baghdad, who said he could smuggle them into San Diego.

The two have relatives in San Diego.