Originally Posted by Rainard Jalen

The point is, the 'Mexican' or 'Danish' or whatever part is irrelevant to him being an a$$hole.

It might be true that he is Mexican and also happens to be an a$$hole, but the construction 'a [x nationality] a$$hole' carries the implication of there being some connection between his being an a$$hole and his given nationality. Such phrases are conventionally used in the context of prejudice. E.g. if somebody said 'he is a black idiot'. It may be true that the subject of discussion is an idiot and also happens to be black, but phrasing it in that way suggests a prejudice and some connection between his race and his being an idiot.