One of the outlaws mentions the Yaqui Indians. The Yaqui lived in the Río Yaqui valley located in the northern Mexican state of Sonora and into the Sonora Desert of what eventually became Arizona. Sonora's western border is the Gulf of California, known to locals as the Sea of Cortez. This area could fit in as the location for this episode so long as we postulate a no-longer-extant town of San Blas there.
Having to send to Santa Fe, the territorial capital, for legal or political guidance was one of the more common problems of administering the huge New Mexico territory. Following the Gadsden Purchase, congress established Fort Buchanan and later nearby Fort Crittenden to little effect and both forts were closed by 1873.
It is this very lawlessness that often helps Caine in his exploits at least as often as it lands him in trouble.