Well, technically, southern AZ and NM was declared a Confederate Territory.
“On August 1, 1861, Lieutenant Colonel John R. Baylor, commanding the victorious Confederate troops at Mesilla, issued a proclamation declaring the creation of a provisional Confederate Territory of Arizona, to include all of the former United States Territory of New Mexico south of the 34th parallel north. He named himself as governor, and set up a functioning territorial government which would continue in operation until the Confederates were forced out of New Mexico in July 1862.
“This Territory of Arizona was officially declared by Confederate President Jefferson Davis on February 14, 1862.”
Fine! Nitpick!! :)