No big deal. Most people don't even know we are a state. When I told folks at my HS in VA that I was going to college at the University of New Mexico, they all asked (teachers included) "Why are you going to college in a foriegn country?".
With a political system like we have in this state, no wonder everyone thinks we are part of Central America!
I have been to New Mexico many times. Really beutiful state. Like the scenery there. Went skiing in Apache and Taos. Great skiing.