Hi, K-Milla! I agree with little harley. You can answer the question with, "Yes, a member of my family will accompany me to Mexico City." Also, from the question, it sounds like they want to know which member will be accompanying you.
K, I wish I could explain why you can't use "any" in your response, but the only reason I know of is that it just doesn't sound right. For one thing, it is too vague to use "any" in your response to the question.
Thank you! I know that here is not a "lesson's web" so I think I understood why I should not use the word "Any"... Thank you once again for all your help and well, I will answer in a proper way [hope so]
"No, no member of my family will accompany me to M.C."