I remember reading the comic but I don't remember his country of origin. The comic itself is obviously Mexican, but I'm fairly certain that he's not Mexican.
I've seen other data that suggests that his origin is not revealed (or that he's an Indian?), but I can't recall anything from the comics that proves or disproves this assertion.
"Kalimán's true origin is unknown, never revealed in any media, which adds to the sense of mystery that surrounds the character. He's supposedly an Indian orphan found abandoned in a river, and adopted by prince Abul Pasha from one of the kingdoms in the Valley of Kalimanta"
So where is Kaliman actually from?