Hi Amy, I have done extensive research in Roswell, New Mexico and do have an idea for you to look into. There was a TB hospital in Roswell during this time period and folks came from various places in the country hoping to be cured. I believe it was run by Catholic nuns. I am guessing that is the reason she went to Roswell and died there even though she may not have had ties there. The Historical Society for SE New Mexico has a book that covers only a year or two (if I am remembering correctly) that lists those who died of TB in that hospital. I would contact them to see if they can find anything about her there.
My grandfather's family moved from Cincinnati Ohio to Roswell in 1901 for that very reason, although they did not go into the hospital. My great grandfather on my grandmother's side also moved to Roswell for their health in 1896. Many folks went to Roswell for their health. So even if she did not have TB it is my best guess she went there only in the hopes of regaining her health.