I guess you mean that part of the Rockies which resides in NM. Couldn't figure out the funny part of your comment though. Sorry.
A little Wikipedia research reveals:
"While the story is supposed to take place in northern Wyoming, the series is being filmed in Las Vegas, Santa Fe, Eagle Nest, and Red River, New Mexico."
"Eagle Nest is located in western Colfax County at 36°33′8″N 105°15′41″W (36.552109, -105.261336), in the Moreno Valley, between the Cimarron Range to the east and the main mass of the Sangre de Cristo Mountains to the west. The village is at the north end of Eagle Nest Lake, a reservoir on the Cimarron River."
"Red River is located at 36°42′23″N 105°24′19″W (36.706311, -105.405271). Red River is located in the southern Rocky Mountains, part of the Sangre de Cristo Mountains and is completely surrounded by the Carson National Forest."
"The Sangre de Cristo Mountains (Spanish for "Blood of Christ") are the southernmost subrange of the Rocky Mountains."
Been to all of those places...thought I recognized them in the episodes.