Yes, you should report the Interest Income Payments you receive for a property you sold in New Mexico on your New Mexico Non-Resident return.
New Mexico Taxation & Revenue says:
"Nonresidents, including foreign nationals and persons who reside in states that do not have income taxes, must file here when they have a federal filing requirement and have income from any New Mexico source whatsoever. You must file Form PIT-1 to report and pay personal income tax. "
Here's the link for more detailed info:
http://www.tax.newmexico.gov/Individuals/personal-income-tax-information.aspx
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