I took a quick look at their web site. Under the About -> History section you'll find the following:

"In response to unsystematic collecting by Eastern museums, anthropologist Edgar Lee Hewett founded the Museum of New Mexico in 1909 with a mission to collect and preserve Southwest Native American material culture. Several years later, in 1927, John D. Rockefeller founded the renowned Laboratory of Anthropology with a mission to study the Southwest's indigenous cultures. In 1947 the two institutions merged, bringing together the most inclusive and systematically acquired collection of New Mexican and Southwestern anthropological artifacts in the country."

Perhaps the museum's origins and their intended audience influenced their naming conventions? Given my Western/American civilization upbringing, calling it a wrap sounds like a better functional description than a kilt given the tourist audience. Skirt has too much of a gender bias, and kilt is too closely tied to Scottish culture. Not many know the original meaning of "to kilt".