Colorado — This is the past participle of colorar, which means to give something color, such as by dyeing. The participle, however, specifically refers to red, such as red earth.
Florida — Probably a shortened form of pascua florida, literally meaning "flowered holy day," referring to Easter.
Montana — The name is an anglicized version of montaña, the word for "mountain." The word probably comes from the days when mining was a leading industry in the region, as the state's motto is "Oro y plata," meaning "Gold and silver." It's too bad the "n" of the spelling wasn't retained; it would have been cool to have a state name with a letter not in the English alphabet.
New Mexico — The Spanish Mexico or Méjico came from the name of an Aztec god.
Texas — The Spanish borrowed this word, spelled Tejas in Spanish, from indigenous residents of the area. It relates to the idea of friendship. Tejas, although not used that way here, also can refer to roof tiles.