You Do Need power plug adapter while traveling from Mexico to Vatican City.

Here is Why You Need An Adapter

The outlet and plug type used in Vatican City are C, F and L and in Mexico are A and B. This is how they look like.

Mexico

In Mexico, outlets of type A and B are in use.

Type A

Type B

Vatican City

In Vatican City, outlets of type C, F and L are in use.

Type C

Type F

Type L