What type of return are you preparing?  The reason I ask is that AK does not have individual income tax.  Otherwise, NM is supported and available (https://lfs.intuit.com/#/s/NM).  FWIW, I have no problem getting NM set up in PTO on my end.

Can't speak to why your rollover for NM didn't work but it seems to be an isolated problem, perhaps with your particular return.  Neither did I have any problem with state rollover in general nor have I seen any complaint from others about that.  You probably did but may like check that the return you rolled over from is the correct copy.

Instead of spending more time chasing down what might have caused the isolated problem you experienced, it'd be more expedient to delete the TY2019 return (if you haven't yet started on it), check the TY2018 return to make sure it's the right copy and that it's intact, then do the proforma again.

This is not Intuit Support or Customer Service but a forum supported by peer users who volunteer their time to help one another and we have no affiliation whatever with Intuit.  We can share our experience but do nothing beyond that.  In case you'd like to have someone look into your return, you will need to send it to Intuit from within PTO and contact Support directly.