If it was NM only probably the best muzzleloader you could buy would be an Ultimate muzzleloader, not cheap but it would be the optimum set-up for that state.
http://ultimatefirearms.com/modelsprices.php
For Colorado you can't shoot a sabot and will want to be shooting either a Thor bullet or a conical. Sabots like a fast twist barrel and conicals like a slower twist barrel. Most barrels today are are optimized for sabots. That can be overcome by shooting a longer heavier conical which stabilizes better in fast twist barrels. Conicals also seem to like barrels with deeper more aggressive rifling which help the rifling grip the soft lead bullet.
Lots of guys love the Thors for hunting Colorado. I have been shooting No Excuses conicals with remarkable accuracy out of Knight muzzleloaders and killed my Colorado bull with a No Excuses bullet. Not all barrels shoot conicals well, but Knights do. Knight barrels have traditionally been made by Green Mountain. I shoot Knight DISC extremes for all my muzzleloader hunting now since I can set up with a standard kit and shoot 209 primers or a western kit to shoot caps and I have a multi state muzzleloader. I have three DISC Extremes, one is unfired. The other two rival centerfires when it comes to accuracy.
Here is the link for the Thor bullets:
https://thorbullets.com
Here is the link for the No Excuses Bullets (I shoot the 50 caliber 460 grain bullet):
http://www.muzzleloading-bullets.com
Knight DISC Extreme's will give you some of the best multi state capabilities. You can set-up with caps and a conical for Oregon, Idaho and Washington, with 209 primers and a conical for Colorado, and with 209 primers and sabots for states that allow it all. Some of the newer DIC Extreme's with the "western" kit have had issues in reliably firing percussion/musket caps but that can typically be solved with changing the breech plug length and nipple. That should not be an issue for you however since you will be using the standard ignition kit and using 209 primers in CO and NM.
http://www.knightrifles.com/product-category/muzzleloaders/disc-extreme-muzzleloader/
Ultimate would give you the optimum, accurate, long range muzzleloader for NM.
If you are new to muzzleloader hunting, do yourself a favor and shoot Blackhorn 209 powder and save yourself a lot of headaches. With that said, Ultimates are not designed to shoot Blackhorn 209, unless they have something more recent. Most muzzleloaders today shoot it very well.
http://www.blackhorn209.com
I also like CVA Accura. They are typically very accurate with sabots. My experience with lead conicals has been somewhat disappointing. My best guess is the rifling is too shallow and not aggressive enough to properly grip a conical. One thing I like about Accuras is they are a break action which is the easiest to clean and maintain. An Accura is not going to have the range of an Ultimate muzzleloader, but is a very good muzzleloader for the money.