However there was a bit of noise a while back from fifa about us joining CONMEBOL. I remember reading an article a few years ago about how the offer was on the table but NZF turned it down.
If I remember correctly, that was just someone taking the piss. There was a random Spanish-language article that alleged that this was proposed/endorsed by Blatter, but that was pretty much the only source for it. I've also done a quick google, and see that Andy Martin shot it down pretty much as soon as the rumour appeared, saying he had absolutely no idea about it at all: link here