Volume 1, No. 1 from January 1886 was actually Volume IX of the Bay State Monthly representing a transition period to The New England Magazine which it later became known as.
The official title of this particular addition was:
The New England Magazine
(AND BAY STATE MONTHLY)
An Illustrated Monthly
OF THE HISTORY, BIOGRAPHY, LITERATURE, EDUCATIONAL AND GENERAL INTERESTS OF THE NEW ENGLAND STATES AND PEOPLE
BAY STATE MONTHLY COMPANY
No. 43 Milk Street
You can see here in the way this edition was presented they used both the names “The New England Magazine” and “Bay State Monthly” showing how this was the first Volume in the transition from the Bay State Monthly to The New England Magazine.