I just joined and see this post is from a while back, are you still in the Valley?
I have only found one other vegetarian in the seven years I've lived here.
Naturally's is the best vegetarian place anywhere in the Lower Rio Grande Valley.
Here are a few others that aren't too bad either, none are vegetarian but have a few items on the menu that are vegetarian:
Blue Onion in Weslaco and North McAllen- but beware that their garlic dip and garlic/mushroom dip has chicken broth
Hop Tung in North McAllen
Lei Lai's in North McAllen
Mama Mia's Pizze in downtown McAllen
Tamales Y Mas in Mission will make special vegetarian dishes by request, but don't have much on their menu
Then there are many chain restaurants that also have a few veggie options
olive garden; pf chang; jason's deli; etc.
Let me know if you find any others.