Pretty rare, but it happens. I saw one that briefly touched down just south of Albuquerque last year. Wasn't a very big one, but interesting all the same.
The weather's been weird this year. Got lot's of snow, then a couple weeks of 60-70 weather, and now it's snowing again. (atleast at my place)
In Oklahoma one EXPECTS tornados. That is where tornados are born!
In Texas we have learned to live with tornados. Tornados born in Oklahoma come here to die.
But New Mexico?