In alphabetical order of US state names, the five states preceding New Mexico are:
Note: "New" states cluster together; "North" states follow. Next after New Mexico is New York? No — Nevada (N-e-v vs N-e-w). Full order: ... Nebraska, Nevada, New Hampshire, New Jersey, New Mexico, New York, North Carolina, North Dakota, Ohio...
Correction: The correct sequence around New Mexico:
So the states immediately before New Mexico are Nevada and New Jersey (with New Hampshire before New Jersey). The original list missed Nevada and Nebraska.