Based on just about as much hard data as anyone else commenting here - that is to say, absolutely none - my best guess would be that the US Marshals Service really could have cared less about inconveniencing any hypothetical friends and/or relatives he has or had in New York. Even assuming that there was an empty room in a New York prison, if the projected cost for housing him in the slammer in New Mexico plus his transportation there (including, probably, an escort) was less than the projected cost in New York, than off he would go.