New Mexico and West Virginia have democrat governors. NM has flipped between republican and democrat governors since 1987 and before that were mostly democrats.
WV has had democrat governors since 2005, and the current governor started out as a democrat but flipped parties in 2017 after he was re-elected.
Arkansas has flipped between republican and democrat governors for the last 6 (3 of each) and prior to that was solid democrat since 1874.
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