At the end, when Gally is crossing the border, he places his hat back on his head, the bullet hole is on the side, in the 'squashed-in' part. When you see him walking forward, the hole is almost at the back & the hat is round not squashed-in.
When Red is saying his goodbyes to Gally out the window of the truck, Gally is wearing his hat continuously; yet on the last cut-away, Gally's hat can clearly be seen moving through the shot as if Gally is putting the hat back on.
Gally's hat stays pristine through about 9/10ths of the movie and is clearly the same hat; however, it appears two other hats (similar to each other yet different from the original) were used at the end to show the wear and tear of the night.
Part of this movie was shot in Brownsville, Texas, and the building architecture shown is obviously 20th century American and not Mexican. Also, the drawbridge across the Arroyo Colorado in Rio Hondo, Texas is supposed to be the bridge across the Rio Grande, but the minimal "guard house" style customs buildings shown are reminiscent of perhaps the 1920's, and are nothing at all like the enhanced security buildings and systems used today.
Day Of The Dead celebrations are common in central Mexico, but would not occur in a northern Mexican border town across from Texas.
When purportedly entering a Mexican border town across the Rio Grande from Texas, the overhead signs read "Bien Viaje Estado de Mexico" and "Bienvenidos al Estado de Morelos," which was obviously filmed at the border between these two states in central Mexico.