Skin Walkers
One study that carefully avoided stigmatizing words like handicapped found that 60 percent of respondents admitted to having physical limitations that would benefit from accessible design. So a lot more people than those officially classified as "handicapped" have some degree of impairment.
Being color blind is typically not described as "handicapped" though it can potentially get someone killed, a plot point of I believe a Twilight Zone episode where a man is forced at gunpoint to rewire something and doesn't tell his captor he's color blind.
Perception doesn't work like most people imagine it does. The brain uses a lot of proxies and contextual cues to draw a conclusion rather than memorizing exactly what X really looks like. As one example, most people don't recognize faces as well as they think they do and can fail to recognize someone they know up to half the time if they run into them in a different context than usual.
There are also many handicaps subtler than being deaf or blind, such as face blindness and Auditory Processing Disorder (APD). People with APD routinely watch someone's mouth as they speak to supplement their hearing with lip reading and they have trouble understanding anything in a crowded, noisy, dark bar or similar setting.
Stories of animals or supernatural creatures mimicking human voices consistently involve hearing what one believes is a person speaking without actually seeing them. Someone with APD who consistently experiences human speech as garbled may be more inclined to be fooled by mimics they can hear but not see as "close enough to be plausible."
Some people on the Autism spectrum do poorly with percieving voices and it can be more effective to clap or snap your fingers to try to get their attention than to call their name. Weirdly, these same people may more readily identify a heavily made-up actor in a movie because they recognize people by voice not by their face.
There is substantial evidence that Autism is an umbrella term that really means something like "some undefined set of various handicaps, such as APD, which result in social impairment."
In my experience, it's more effective to try to quantify and accommodate specific problems like APD than to hand wave them off with a polite euphemism for "social retard." Some things can be readily worked around if you know what they are and some can't, sort of like being hard of hearing is less of a problem than deafness.
In addition to most people having imperfect eyesight and imperfect hearing, people pattern match to what they already know, as I did with thinking piñon was piñata.
I thought that in part because I don't know a lot of Spanish. Piñata is a word I knew. I had never heard of piñon coffee before.
Police detective type TV shows somewhat frequently say things like "Check for a license plate with this string of characters ending in 2 but also check using a Z in place of 2 because the witness speaks English as a second language and their language has no Z, so they may have pattern matched to 2 as a more recognizable character."
There is an episode of X Files where an uneducated immigrant with poor English tells a tale of aliens in space suits. The scene is later shown again but depicts people in hazmat suits. (Possibly episode 11 of season 4: El Mundo Gira, which also mentions the chupacabra, another mythical creature.)
The idea of Bigfoot is probably based on something real but there are documented cases of Bigfoot hoaxes where people put on stilts with fake Bigfoot feet and made tracks to trick people.
Once you have a nebulous, mysterious, poorly defined concept like skin walkers that can seemingly morph into anything, anyone with a weird experience they don't understand may assume anything weird that happened is a skin walker.
But also if people believe in this idea, con artists have an easy in for taking advantage of people. Anglos conning Natives is an extremely well-documented phenomenon going back hundreds of years, so it's extremely likely that some incidents are hoaxes.
Last I checked, the umbrella term Gulf War Syndrome had gotten differentiated into three completely different syndromes with no known cause. It might be, say, two unrelated infections plus radiation poisoning as the third symdrome but we don't really know yet, so it's kind of a scary, nebulous concept, a little like skin walkers.
Yet, no one says soldiers are just faking illness. No, we are still trying to figure out what's really going on there.
So my guess is that skin walkers are probably:
1. Several unrelated phenomena lumped together under an umbrella term. Since we don't have a skin walker in a zoo being studied to determine the extent of its abilities, I see no reason to assume all the disparate stories are about one creature.
2. People with poor eyesight or whatever tossing in anything they didn't clearly see or hear and don't have a good explanation for under a local umbrella term for "nebulous, mysterious happenings."
3. Some people taking advantage of this belief because it's convenient for their nefarious purposes. AKA con jobs or hoaxes.
Natives will probably be disinclined to tell police "First, make sure I'm not being conned. IF you eliminate that possibility, please document it as possibly a skin walker. Because I don't have any other explanations for my experience here."
People who feel disrespected tend to double down on "It really happened, I'm not crazy, you're just racist." or similar. My mother trended towards desperately trying to prove she really dreamed the future and it only undermined her credibility.
Allowing for the possibility that some incidents are hoaxes would likely eliminate experiences that don't really fit these stories and help strengthen the case that something real is happening by making the remaining stories more consistent in character.
Until the mid 1800s, mountain gorillas were believed to be a myth and it's hardly an anomaly. Many well-documented animals were once thought to be myths.
New Mexico is the 5th largest US state by land mass and the 37th most populous state, making it one of the lowest population densities in the US. It shouldn't surprise anyone that the state has stories by Natives -- who have been here thousands of years -- of something Anglos have never seen.
Lack of adequate scientific documentation and explanation does not mean we have only two possible explanations:
1. Supernatural phenomena.
2. Stupid nonsense that's absolutely not real.
In Scooby Doo, some of the mysteries start out with supernatural explanations, but when the bad guy is unmasked, mysterious lights at night in the local swamp get revealed to be something like a corrupt businessman illegally mining in a protected nature reserve under cover of darkness, not aliens or monsters.
Similarly, I once read a book where storms on some planet were imbued with something magical that promoted false images. The monster that only came to town during these storms turns out to be a girl's abusive father, similar to the fire wyrm in The Thirteenth Warrior being revealed to be torch-bearing cavalry who only attack under cover of fog.
Fog and storms have a longstanding reputation as being conditions associated with both myths and bad behavior facilitated by this naturally occurring visual and auditory cover. See, for example, the association between Jack the Ripper and fog. (1, 2)
New Mexico is a dry state. It doesn't have a lot of fog and storms. What it does have is the same thing Nazi Germany had on its side for facilitating atrocities: a kind of unintentional media blackout due to a simple lack of witnesses.
Comparing Trump and Hitler is silly. Hitler did what he did in an era before TV, much less internet and ubiquitous cell phone cameras. If Trump succeeds in his seeming authoritarian goals, it will be because people stood idly by and did nothing. Hitler succeeded because people simply didn't know under circumstances where no special cover up efforts were necessary.
The largely rural nature of the state and low population density means things can happen here with few witnesses, no conspiracy required. Even the one big city in New Mexico -- Albuquerque -- is a relatively sprawling, low density city similar to Fresno, California.
Which means there are coyotes living within city limits here with seemingly little to no friction with people. In most big cities, something like a coyote pack would be hunted down and relocated due to it being a huge problem.
Scary boogeyman style myths like "skin walkers" tend to actively discourage scientific investigation into what's really happening. This actively grows stories of undefined supernatural abilities by some mystery creature.