I'm not specifically familiar with NM but you might put your seedlings where they get morning to midday sun but have at least partial shade in the afternoon. Citrus does like lots of sun but the seedlings are going to need some protection from heat and your low humidity.

When you water do it in the morning and from the bottom ( place pot in a small container of water and let the soil suck up the water) this will help prevent damping off disease. You should water like this for the first few months.