You have j’habite dans le New Jersey and tu habites au nouveau-mexique. Both mean live in and both are masculine states. Why the difference?

As noted in the lesson - New Mexico, Texas and Quebec are exceptions to the usual grammatical treatment of States/Counties/Provinces/Regions etc.  Doesn't have to be a specific reason for an exception, and trying to understand them can drive one crazy. 

More on 'geographical' prepositions :

https://www.frenchtoday.com/blog/french-grammar/french-prepositions-countries-cities-regions/