I'm betting that the only reason you are making this statement is that you and I have different definitions of what "Union" is.
For me Union territory is the land that was under the governmental authority of the United States of America during the American Civil War.
New Mexico territory would fall under this definition. It's territorial government was established in 1850 (1846 if you count the provisional government) by the United States of America and it continued to be a U. S. territory throughout the Civil War. Now the Confederacy did declare that the area of the New Mexico territory south of the 34th parallel was actually the Confederate territory of Arizona, but this was never recognized by the United States or the Territorial government of New Mexico.
Maryland would also fall under the Union label since they voted against secession (53-13 in fact). Kentucky did not secede, they passed a resolution of neutrality but they never left the United States. This is why there is no readmittance of Kentucky to the United States.
The situation in Missouri was so strange that calling them "split" is probably not a bad assessment.
“For me Union territory is the land that was under the governmental authority of the United States of America during the American Civil War.”
Yawn. I suppose you don’t believe that any states were confederate. This is boring.