The prepositional phrase is "in" since it describes where the prairie dogs live which is "in New Mexico".
It is important because if their names were on the ration books, they would have been found out by the Nazis and taken away, like all of the other Jews.
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During a soliloquy, the character is just vocally presenting his thoughts without regard to the audience. The characters are basically talking to themselves. In an aside, the character wants to talk to the audience and is aware of it.