As of 2/6/2023 you do not need a Covid test to travel to Puerto Penasco. The US Government is requiring a negative COVID test to return to the US only for re-entering via air travel. There is no process in place for US citizens to check your COVID status at the Lukeville border crossing. Different rules apply for non-citizens, so please check with official US Travel details.
Useful Puerto Penasco links
Mexican Government Updates (use Google Translate site is in Spanish)
Map below to Lukeville border crossing.