They're from the Western Gulf of Mexico. According to a link I found only discovered so far at Flower Garden Banks. The best part is they are only 3" long full grown.
There is a closely related species called H. socialis that stays very small too. It's only been found in Belize reefs IIRC. There is a good picture of H. socialis in Kuiter's Atlas, but it's labeled as "Iridio socialis".
Joe, ever hear of any imports of the smallest wrasse species, Minilabrus striatus? They are only around 2" long full grown, and the females and males are both pretty nice looking. They're only found in the Red Sea.
Nope, Red Sea is awful at going after smaller species though. I can't even get them to decipher Mimics vs. Meiacanthus, so I haven't bothered asking for anything else easily confusable.