Note that the New Mexico Nonresident return calculates taxable income from all sources as if you were a full-year resident. Then, based on what you entered for New Mexico-source income is used to "prorate" the tax on that total taxable income.
In other words, the New Mexico nonresident returns calculates what your tax would be if you lived in New Mexico, and then applies a percentage (which in your case should be very small) to calculate the nonresident state tax you pay. I would expect your tax due for New Mexico to be very small or "zero".
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