I live in New Mexico and have a number of books about Stieglitz and O'Keeffe. I don't believe he ever came here. One of the books, "Two Lives, A Conversation in Paintings and Photographs" about the couple, includes a fairly comprehensive chronology of both, including trips that they took, and never suggests that Stieglitz went to New Mexico. However, in 1929, the first time O'Keefe went to New Mexico, she went with Paul Strand's wife. Could that be what chimed in your memory? Also, she had quite a relationship with Ansel Adams, including time in New Mexico. ("Moonrise, Hernandez New Mexico" was shot not far from O'Keefe's house.) So there were lots of photographers around. Also, while O'Keeffe went to New Mexico in 1929 and 1930, staying with a woman friend (Mabel Dodge Luhan) she did not return until 1934, by which time Stieglitz was in failing health. (He would have been 65 when O'Keeffe made her first trip to Taos, and 70 in 1934.) He stopped taking photographs in 1937 and had a heart attack in 1938, and the journey to New Mexico, and especially to Taos, was not an easy one at the time. So, I don't think he ever came here.