States have different rules for trust "residency".
Further, if the trust had New Mexico source income it might have to file a New Mexico return.
See https://www.tax.newmexico.gov/all-nm-taxes/2020/10/23/fiduciary-income-tax-for-trusts-and-estates
Regardless, note the income threshold for filing a return (at the link above). Trust corpus (or principal) does not count; only income/gain is considered to be taxable.
