The Southwestern state with the famous "Roswell UFO incident" site is New Mexico.

The Roswell UFO incident occurred in 1947 near Roswell, New Mexico, and is one of the most famous UFO-related events in history. Initially reported as the recovery of a "flying disc" by the U.S. military, the incident sparked widespread speculation and conspiracy theories about extraterrestrial life. Today, Roswell is a popular tourist destination with UFO museums and related events, attracting many visitors interested in the mystery surrounding the event.