The owners said that it was caused by fireworks during the "Jinetes Supremos" show.
Fireworks during a carnival in the town of Visitación ignited a deposit of fiberglass.
A 7.1 magnitude quake shook the state in the morning.
The theaters are nearby the local stadium.
Authorities said they were still working to determine the cause of the fire.
Four workers suffered burns and were taken to a local hospital, another worker fell as he operated a fire hose during the emergency response.
About 36 units were affected by the fire.
The number of victims is not known.
Pemex said in a statement that firefighters had controlled Tuesday's blaze at the Antonio Dovali Jaime refinery in the southern state of Oaxaca.
The reform, which imposes more stringent rules on teachers and subjects them to evaluations, has been beset by problems, with violent demonstrations by militant teachers.