NM did not accept my Notification of Record, stating their records show no trust with that name, what do I do now? I stated where the filing was done and the record number (CO).

It is possible to do a DBA in NM. The primary purpose of sending the notice though is to notify them. If you have your green card return receipt as prima facie evidence that the information was provided then you most likely have satisfied the burden of proof necessary in a court of law.