There were governments the CSA recognized for Kentucky and Missourri, with at least as much basis in legality as that which the USA recognized as the government of the Commonwealth of Virginia and which provided the veneer of legitimacy used to form West Virginia. The same can be said for the civiliized tribes, and had Gen. Sibley been successful, the Territorial government he proclaimed in Santa Fe might well have lasted. Interestingly, the Confederates planned to divide New Mexico into two territories much as the Union did during the war, burt whereas the Union Arizona was formed from the western half of New Mexico Territory, the Confederate Arizona was formed from the southern half of New Mexico Territory.
Well, Santa Fe and Albuquerque were not pro-Confederate (more "anti-Texan" based on old grudges than anything else), although the Mesilla Valley area down around Las Cruces (was it there then? uncertain) was pro-Confederate, as was Tuscon. The 'ideological' split in NM was a N-S split, and the S was more outraged about how unresponsive and far away the government in Santa Fe was than in slavery (there were what? less than 100 in the entire territory?). Consequently, when the combined New Mexican-Coloradan-Californian force retook the territory, the U.S. Congress created the Arizona Territory to assuage Arizona's concerns about distant governance. So Sibley's rule in the N of NM Terr was shaky at best, but the S was a different story. Of course, both sides had a lot more to worry about than each other, given that the Apaches and Comanches decided now was the perfect time to raid the hell out of the entire area, Union and Confederate alike.
As a footnote, at statehood they held a referendum on whether Arizona and New Mexico should merge and be one state, or be two new states. New Mexico voted to merge, but Arizona voted to remain separate...*sniff* we could've had better governance...
