Holy See (Vatican City) is about 714,341 times smaller than New Mexico.

New Mexico is approximately 314,310 sq km, while Holy See (Vatican City) is approximately 0 sq km, making Holy See (Vatican City) 0.0% the size of New Mexico. Meanwhile, the population of New Mexico is ~2.1 million people (2.1 million fewer people live in Holy See (Vatican City)).
Tip: This to-scale comparison of New Mexico vs. Holy See (Vatican City) uses the Mercator projection, which distorts the size of regions near the poles.