There are probably a lot of factors: New Mexico is the second poorest state in terms of poverty rates. It's a drug smuggling gateway from Mexico. Very high Native American population, which itself, struggles disproportionately with addiction. Mostly rural isolated populations where drugs offer a means of escape and long wait times for an ambulance to arrive in the case of an overdose situation.

As an aside, looking at those charts, no wonder Breaking Bad was set there.