I found him at the New Mexico Death Index project (1899-1949) (Note: this is a USGenWeb project currently hosted on Rootsweb. It could move due to recent consolidation of the Ancestry and Rootsweb domains.)
So then I went to the New Mexico government site to look up how to retrieve death certificates.
New Mexico Vital Records are restricted access records and are only issued to immediate family members or individuals who demonstrate tangible legal interest.They define immediate family as: "mother, father, maternal grandparent, paternal grandparent (if father listed on record), sibling, child or current spouse." None of these are still alive. If they had included grandchild, I would have had my mother submit the request, which she would have gladly done. I wasn't very happy with the New Mexico government.
Now I am only unhappy with whoever is responsible for their web page. It would be really nice if they mentioned that some death certificates from 1889-1945 are available on microfilm from the Family History Library. Which I can order at the local library I frequent.