It wouldn’t surprise me in the least if he thought New Mexico wasn’t part of the United States. Apparently plenty of people (who, granted, are not the POTUS) don’t get it straight. A magazine there used to keep track of the misunderstandings, e.g. when the USPS would return a letter addressed to New Mexico because it lacked sufficient postage for sending it internationally.
His helicopter was near my neighborhood a couple weeks ago.