The administrator of 401k account will withheld 20% federal taxes and most likely will not withheld any state taxes.
At the tax time there will be two issues in connection with 401k distribution:
Total taxes withheld will be counted and you will either receive a refund or pay amount due.
Just in case Virginia taxes would be withheld - you will need to file Virginia tax return and based that you are not living in Virginia - you should receive a refund.
As you now live in New Mexico - the NM tax rate will depend on total taxable income:
-- 1.7% on the first $5,500 of taxable income-- 3.2% on taxable income between $5,501 and $11,000 -- 4.7% on taxable income between $11,001 and $16,000-- 5.3% on taxable income of $16,001 and above