I haven’t been to San Diego or Miami so I am voting for New Mexico. You can see Albuquerque in a day or two and Santa Fe and Taos are wonderful. Taos pueblo has its big festival on Christmas Day where they do the deer dance ( I believe).
All the pueblos are different and worth visiting but the wonderful handicrafts are quite expensive. I love the tour at pueblo Acoma where North Americas oldest city is ( first settled in 1100 AD or thereabouts). After the tour of Sky City, you can climb down the mesa instead of taking the bus. It’s not that hard. And pretty cool to be using hand and foot holds that have been there for hundreds of years.
NM in the winter can be provincial and you may find things closing earlier than you’d imagine, so plan ahead.
Abiqueue and Ghost Ranch (home of Georgia o’keefe) are wonderful but the best place of all, to me, is Chaco Canyon. It is a national historical park and has a long unpaved road that reaches it. If you can manage that, you will be rewarded with Anasazi ruins from the height of their civilization.
I’ve been to this area three times in February and it was never too cold during the day. Sunny, and from the 60’s to the 40’s.