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A few books that come to mind right off the top of my head...
Vampire Kingdoms... since your pretty close to Mexico a few of these could crop up in the area, mostly depending on just how far south you go... won't be a huge problem, but a persistent one and maybe worth investigating for your players...
New West and Spirit West... This IS Rifts in the American Southwest... Very little Coalition involvement, but a vivid place to play with the frontier towns and Old West styling... if you have any John Wayne fans in your group, they'll love this...
Mercenaries... Always a good addition to a game... no matter where you go, there they are... the hired guns of the world, looking for work or trouble, usually at the same time...
Lone Star... if you want to have a Coalition Presence in the area or just want a whole slew of monstrous stuff to throw at your group, this book should provide it... mutant animals are always fun to play with...
That's about all I got for the moment
Good Luck and great gaming!

I would suggest getting the HUGMG. This might sound weird but the HUGMG has several thug/mook/minion/boss quick stat tables.

The CS makes an excellent antagonist when starting out. You can start your group against small groups of grunts or dog boys and scale up the difficulty as appropriate.

--flatline

Palladium doesn't usually do "encyclopedias of" type books. D-bee's of North America is one of the few examples for their current main lines.

for most Palladium games, the sourcebooks tend to be regional based. you pick the geographic region you want to play in and that book will give you not only details on the area like cities and enviroment, but usually also creatures, races, character classes, special gear, etc.

that said, one of the best buys a new GM could get, after buying RUE and the book of magic, is going to be Conversion Book 3: dark conversions. this is the closest thing you have to a 'monster manual', in that it holds the stats for a multitude of monsters and creatures like giants, orcs, werewolves, bochala, demons, devils, gargoyles, etc. the books covers creatures from many of palladium's other games, which means it has great variety.

The original Rifts Main Book has a quick-roll table to design your own monsters - you might want to find one of those if you don't have it. Plus it has a couple of NPC's that can be used as well. Sadly it wasn't included in the Rifts Ultimate Edition.

As for other books:
World Book 28 - Arzno.
Rifter #34 - This has official source material for the Arzno area.
World Book 1 - Vampire Kingdoms (note there is now a "revised" edition and a vampire sourcebook coming out sometime as well)

Also as mentioned, World Book 13 - Lone Star, World Book 14 - New West and World Book 15 - Spirit West would also be of great help. The Monsters and Animals book and Conversion Book 1 would be a great source for a number of monsters. There are also some monsters/creatures in the New West and Spirit West books as well. The Dark Conversions book would also be a great source as well.

i was going to suggest conversion book 1, but all i have is the older unrevised version, of which about half can now be found in dark conversions. so without knowing what was still there, i couldn't honestly recommend it. iirc though it should still have a lot of the races from PFRPG, which would be useful.

The Revised Conversion Book has some new monsters to fill the gap. The Rifts Sourcebook 1 also has some nice baddies as well (granted some of them won't be a common sight to the southwest). MercOps for the gear. Juicer Uprising for new types of Juicers. Rifts GMG has all skills and gear (well, not all gear, just gear on Rifts Earth) from the books up to about WB 23. The Book of Magic has all spells from Rifts Earth printed prior to WB 23. Rifts Index and Adventures Vol. I & II, and the Rifts Adventure Book are nice to look through and have an idea to springboard off of.

Rifts is a very difficult system for me to run mainly because the amount of items involved. It is a system that seems very hard to constrain within set parameters so if trying to run it i guess the best way is to embrace the madness and don't try putting restrictions on anything. Think B-Monster Movie and you probably have the right idea on how to run Rifts.