Re: Radon. This is definitely a concern, depending on where in New Mexico you live and your local geology.
From Wikipedia - 'Radon is produced by the radioactive decay of radium-226, which is found in uranium ores; phosphate rock; shales; igneous and metamorphic rocks such as granite, gneiss, and schist; and, to a lesser degree, in common rocks such as limestone.'
If you are building on/in/near any of the above types of rocks, or if you can find old uranium mines on the USGS quad maps of your area (there are some not very far from my house) - I would suggest getting a radon test.
Re: Mold. This should probably be less of a concern unless you live in a river valley or a particularly wet part of New Mexico. Given the usual humidity levels here (single digits right now) mold shouldn't be too big of a problem.
Tim (living in Northern New Mexico)