I remember years ago, in New Mexico when I was a kid, there was a scramble to prove where one was born (reason forgotten- voter registry- passport?).
Small New Mexico communities had no system and Catholic Church records were often lost (the majority in northern New Mexico were Hispanic or part Hispanic). My mother (parents from Spain but no birth records found) and my grandmother on the other side, (Irish pioneer family, records of birth lost) had to get affidavits from a ranking politician or professional like a doctor stating that they were born in the state.


New Mexico Facts
Hispanic or Latino origin- 45% (2008)
Number speaking Spanish at home- 36% (2000)
Number of New Mexicans admitting foreign birth- 8% (2000)
US Census Bureau estimates, 2009.

Arizona
Hispanic or Latino- 30% (2008)
Language other than English spoken at home- 26% (2000)
Number of Arizonans admitting foreign birth- 13% (2000)

I would not try to break out number of Hispanic foreign born.