I do not have an AT&T phone. The model I'm seeing is [RM-]1116.
I am sorry, then I got you wrong. For your case, please, see my revised answer below:
If MS tied the unlocked, not carrier phone, to AT&T, it may be time to look elsewhere.
In the past, there were a lot of rumors, whether a ‘country variant’ (CV) or even ‘regional variants’ (in your case Product Code 059X5B5 or 059X505 = North America; NAM) must be approved by all mobile operators in that country/region or just by (normal)
independent testing. Or stated differently: I do not know for sure, whether AT&T US has to authorize your variant as well. Anyway, with a Lumia 950 XL like yours, if you go for Product Code 059X5P5
(Mexico, MX), you get 00038 today.
059X4W7 RM-1118
That is a Lumia 950 Dual SIM and the firmware variant for several European countries, like Portugal, Switzerland, Austria, Poland and many more. 00038 has not been released for that variant, yet. The ‘nearest’ Product Code for you would be 059X4X8
(Germany, Italy, …). That received 00038 already.