You might check the book "The Confederate Army of New Mexico". It has a list of "all" the soldiers who took part in Sibley's New Mexico Campaign. The ones who were captured and taken to Camp Douglas were exchanged at Vicksburg, Mississippi in September 1862. I have the list of those exchanged on microfilm, but I don't have access to a microfilm reader at this time. Other possibilities are that the information is in the series "Unfiled Papers and Slips Belonging to Confederate Compiled Service Records" (Microfilm Series M347). There is also a chance that the U.S. War Department filed the documents in another soldier's service record in the 5th Texas Cavalry. I have found such mistakes before.