You can easily google search La Roca (the rock) and find reviews about it on TripAdvisor and beyond. I'm adding La Roca to the highlight list here because I found it using a hand drawn map, walked over the railroad tracks in the red zone, and found this curious - and obviously well know spot despite the odds that were against me (low lighting, bad directions, bad part of town, that I'm a blonde gringo, my Espanol is limited to mostly curse words, etc.). Make no mistake, this is not he French Laundry of the border world. What it is; better food than most places, cleaner than most places, and has nicer service than most places. Plus, you can eat like a king on very little coin.
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Been there a couple of times
But it HAS been a while. LA ROCA is truth in advertising - it is literally hewn right out of an enormous rock. That makes it fairly cool on summer nights that are a little warm, although Nogales is at a medium altitude (nearly 4,000') so it cools nicely at night. I remember being served fine food at reasonable prices in a florid manner, with strolling musicians in flickering light. All in all, a place I recommend. It is not too far from the International Border, if you're squeamish. I believe they respect the American consumer enough not to mess with the trade. Enjoy!