No, you do not need to file report a full year worth of capital gains on her New Mexico tax return.
If she did not intend to establish residency in New Mexico and only lived there for an internship, report $0 capital gains on her NM tax return.
If she did intend to establish residency, you will apportion her capital gains to only the 2.5 months she was a part year resident of the state.
For more information, follow this link: http://www.tax.newmexico.gov/Individuals/faqs.aspx