You'll have to ask the IN Dept. of Revenue that question. "I was suppose to get $1200 back" indicates that you filed an IN tax return. How did you file; full year resident or part year or non resident? Why was there IN withholding? If you lived in IN prior to going to NM, you were most likely still an IN resident and NM was only a temporary work location. "We moved to HI in July" sounds like you were a part year IN (Jan-Jun) resident and a part year HI resident (Jul-Dec). You should have file a part year resident IN return, paying IN tax on your Jan-Jun income, but claiming a credit for the tax you paid to NM on the same income.
See:
https://www.americantraveler.com/state-tax-questions
and http://www.thegypsynurse.com/tax-home/
