The NBC News piece outright dismisses the point of them fleeing. I'll quote from the article and the OP:

In his public life Mitt Romney has said and written little about his ancestors' history in Mexico. In one oft-repeated quote he said his family left the U.S. for Mexico to escape persecution for their religious beliefs.

In fact, Romney's great grandfather, Miles Park Romney, led that first expedition to escape not persecution but prosecution for polygamy, or what Mormons called ‘plural marriage.’

If you didn't read it as NBC, and in turn chessdev, making it out to be some sort of attempt at a "gotcha!" because of the false equivalency drawn between religious persecution and illegal immigration, I'm honestly curious as to how you read it.