I think the Iranian have every right for them to request that their matches should be moved to Mexico, because like you mentioned Trump already said he can not guarantee their safety if they come to the US, so I think the statement just shows that they are not safe in the US, so I think their request should be considered by the FIFA governing body, so at least they still have the chance to compete in the world cup final.
FIFA has the right to make such requests but it will affect the organisation of the competition. Preparations are already done and the teams that will face Iran have already made their plans. A change in the schedule might be difficult. FIFA might have to consult these nations to know if they are comfortable with such changes. But I think Iran has a valid reason to play outside the US.
From the information that is around now, it seems FIFA rejected the offer. Which means Iran's options would be to take the risk of playing in the US or boycotting the competition.