Did New Mexicans under Spain regard themselves as Mexican?
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You are conflating the concepts of Nation and Country.
Nation
a large aggregate of people united by common descent, history, culture, or language, inhabiting a particular country or territory.
Country
a ... territory considered as an organized political community under one government.
Nationalism - the concept that the populace of a country is best composed of a singe nation - only arises in the several decades following the French Revolution. Prior to that time the sovereign states for most of the world are alternately only part of a nation, as in the fragmented Italian and German principalities, or are empires comprising many diverse nations such as the Austrian, Ottoman, and British.
In this pre-nationalism era, the community that commanded a citizen's loyalty is exclusively comprised of the state from which citizenship is held.
For the period of your interest (mid-19th century American South West) a transition is still occurring into nationalism. Consequently there would have been no consensus, but rather a variance of opinion between whether loyalty was due to each individual's nation or to the state currently exercising government authority. As a complication, there were numerous Amerindian nations residing in the territory as well as both U.S. settlers moving west and more established Spanish/Mexican settlers. All of these peoples would have had different expectations of who, or what, their state loyalty was owed.
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