You have this backwards. New Mexico is #1 for unemployment only if you're going for a high score. Obviously, high unemployment should match low labor participation, which is what you see.

The numbers make a lot more sense than you think.

https://www.bls.gov/web/laus/laumstrk.htm

compares well with your link,

https://www.expresspros.com/Newsroom/America-Employed/Expres...