Mexican is considered Latin.
Rudolph Valentino did not come from a Latin country.
Besides, some claim that Antonio Moreno was the first "Latin Lover" in movies. He pre-dates Valentino as a star by nine years and was very popular.
However, Moreno didn't get the "Latin Lover" tagged to him until after Valentino became a star in 1921. After that we had stars like Ramon Novarro, Ricardo Cortez and Gilbert Roland.
Let's not forget that there was another star who pre-dated Valentino and could be considered the first non-American actor to be a heartthrob: Sesue Hayakawa. Hayakawa was the first Japanese actor to become a matinee idol to American women. He was a major sex symbol from 1914-1919.
Hell, the first actor who became an actual sex symbol in movies was Francis X. Bushman in 1911. He set the standards for sex symbols to follow. We have to remember that a sex symbol is not just a mere romantic lead. Bushman was the first of his kind. The romantic heroes who pre-dated him were King Baggot, J. Warren Kerrigan and William Faversham. Romantic they were, but they weren't sex symbols the way Bushman and Valentino were.