Which state should I file a small claims with?

I was supposed to go on a trip with a group of people but I had to cancel due to unforeseen hardships. The group leader lives in New Mexico, I live in Tennessee. When I cancelled the trip, I was told that I would be refunded the money back that I had sent via paypal to put towards my rooming and vehicles. A few other group members who had also cancelled were refunded. I have not been returned my money and am now being told that the group had to pay a lot of unexpected extra costs for campsites and food so they decided while on the trip not to refund me after all. Do I file a small claims in NM or TN?