I found an excellent report on why Epstein and the Zorro Ranch was never investigated in New Mexico.
New Mexico is a hot bed of corruption and debauchery and this author hits all of it. Including a tidbit about Deb Haaland, who is presently running for governor.
It's long but if you want to understand the depths of their cover up this article covers it all.
https://alisav.substack.com/p/they-all-knew-and-did-nothing