Albuquerque has International Air Port, Lots of outdoor activities, learned to Ski there, don't know about cross country but ~ 1 hour away from Santa Fe 2.5 hours away from Taos, 4 Hours away from lower Colorado Skiing (best Skiing). Does get hot in summer but generally cools down at night with winds off the Sandia Mountains
I lived in Cheyenne WY for 5 years and have considered moving back in retirement because of lower cost of living, particularly taxes and the climate is dry, love the spring snow that falls & disappears in a few days. Only Skiing I tried was in Laramie (1.5 hours to Medicine Bow Forest area), which I didn't care for in comparison to lower Colorado but I don't know anything about cross country skiing. Biggest downside to Cheyenne is wind in the winter and although they have a small airport (only did that once), I'd recommend driving 2 hours to Denver instead. About 45 minutes to Fort Collins.
Hiking Wyoming - Away From the Grind also has hiking in other surrounding states