No matter how your employer reported your wages on the W-2, it does not affect on how you are taxed on the income. Also, nothing on your W-2 has any effect on your state of legal residence.
As long as you answer the interview questions correctly, your income should only get taxed by NM.
When you complete the Personal Interview:
- Select NM as your state of residence;
- Answer "No" to "(You) lived in another state in 2017?"
(The question "lived in another state" applies to your state of residence. Active-duty military and their spouses are considered to be "living" in their home of record state, regardless of where they are stationed).