So what happens to a leaky TPRV terminated without an air gap to the outside when winter temps drop below zero in New Mexico
No air-gap required in CA, unless discharging indirectly into the DWV system of the residence or some other type of receptor.
The OP is a very typical CA installation.
Simon my condensate boiler drained into a condensate pump. The boiler ran mostly during very cold NM nights, I lived at 7000’. The condensate pump drain was 1/2” OD tube and never had an issue being obstructed with an ice build up. The TPR discharge pipe is 3/4” and water temperature and pressure are a heck of a lot hotter and higher than a condensate pump pumping room temperature liquid through a little pump.
Bottom line is these codes have been in place for a very long time in cold climates and if there was an issue they would have been addressed in one of the dozens of code revisions since 1986 when I started my plumbing career.
This is just my real life experience with discharge pipes in cold climates.
Most areas of the country go by the IRC code, which does allow discharge into the pan. The discharge pipe needs to be 2 to 6 inches above the top of the pan to meet the air gap requirements. Also, the drain pipe from the pan must be 2 times the diameter of the TPR drain pipe. Most pans are setup for a 1" drain pipe and most TPR drain pipes are 3/4", requiring a 1.5" drain pipe from the pan.
Can you show me where a 1.5” drain connects to the pan. Are you referring to the DWV drain the safety pan drain discharges into?