Immigration proof of payment?

When you arrive by air, the airline pays the fee. When you enter by land, you are responsible for paying it. Asking for proof of payment is a legitimate request when leaving, if you have entered by land. If they have paid the fee, they should have the receipt from Banjercito to show.

The obvious argument of "how else would I have gotten this visa" is not valid, because you take it to Banjercito to pay for it after you already have it. If you paid "directly" to immigration in Baja, and did not get a receipt, then maybe that is where you got scammed, not when leaving at the airport.

I've never been to Baja, so I don't know exactly how it is when entering there, but here in Quintana Roo it is entirely possible to enter without stopping at Banjercito to pay, and the enforcement is when turning your tourist card in when you leave. So your situation does not seem unusual, except that they don't necessarily make it obvious what you're supposed to do and keep.

The common "scam" down here is requiring the proof of payment when leaving for Belize, even from air travellers. They are expected to show their full itinerary/receipt from when they arrived, showing the taxes paid, and if not, they will make you pay again. But it is supposed to be a legit payment to Banjercito, though I've read a number of reports of people paying this direct to immigration. That's not how it's supposed to work.