First off, not all travel by US passport holders to Cuba via Cancun is necessarily illegal. It is not uncommon for travelers to go by the "gateway country" method even if they have been granted a general or specific license by OFAC.
Just look at the cost of charter flights from US airports to Cuba. Those flights can easily cost 2-3 times what airfare costs from your hometown to a gateway city and then from the gateway to Havana. For that reason alone, some legal US travelers still fly this way. In other words, legal travelers aren't required to fly on an expensive charter.
With that said, to answer the OP's question:
Cancun is frequently becoming a less popular gateway city. Cubana de Aviacion has recently cut back the number of weekly flights from Cancun to Havana. Also, a few large Mexican airlines have gone bankrupt in recent years. There are far fewer overall CUN<->HAV flights available now than there were a couple of years ago.
Assuming you do have a license from OFAC and you do decide to make the trip to Cuba, you should expect even just an overnight trip to run you in the neighborhood of $600 (minimum). If scoring genuine Habanos is your main goal, I would stick to the LCDH in Cancun and spend that $600 on cigars there.
Speaking of illegal, it is illegal for a US citizen to purchase Cuban cigars in Mexico without a license from OFAC. Period. No exceptions.
Hope this helps. Safe travels.