There are a few states that tax telecommuters in other states. NM is NOT one of them. But the fact that your employer withheld NM tax and indicated NM in box 15 of your W-2 tends to make the the NM tax people suspicious.
You should have mailed in (not e-file) your non resident NM return and attached a statement of explanation. An additional letter/statement from your employer would be helpful.
At this point, I agree with @DoninGA , you need to write to the NM Taxation and Revenue Department with an explanation. Try to get your employer to stop withholding NM tax.
