Thanks Jason! I do have some setting ideas; I have something in mind around a fictional part of South Dakota, a sort of not-Deadwood. I thought a fictional town gives a broader sandbox than a real setting, but setting it in a real state forces the game to grapple with the messy reality of history on some level (unlike, say, Red Dead Redemption’s entirely fictional states). Given Copperhead County’s setting, I’m sure you agree! 
Setting it in/near the Black Hills also makes the indigenous experience front-and-center, since it’s one of the more egregious examples of broken treaties and stolen land (which is saying something!).
As you say, there’s then a whole other set of tricky subject matter like race and class and gender and slavery and the list goes on. I have a few thoughts on those areas too…
One idea is a tick box on the character sheet called “Not a White Man”; this is a sort of consent-mechanic, where if you play a character who might be impacted by the prejudices of the time (ethnicity/gender/sexuality/etc) you gain a special rule. It demands a conversation at the table about lines and veils, and then every time you encounter an obstacle because of prejudice, the player can either accept the obstacle and restore 1 grit (stress), or reject the consequence and the story moves forward without it. In other words, the player gains full control and consent over how big an obstacle prejudice against their character is, and can either brush the prejudice aside, or accept it and gain a small mechanical advantage. This would then mean than women and people of colour and so on have more stress (grit) to burn during climactic moments than cis white men, which feels right to me.
My other line of thinking is around the “frontier” as a liminal space where marginalised communities can find a home, but are pitted against one another by the pressure cooker of Manifest Destiny. Not a utopia by any means, but a portrayal of living in the margins, a diversity of experience. I’m thinking about the large number of african american cowboys, and places like Covert, Michigan, where there were “black highway overseers, black election inspectors, black township board members, a constable, a drain commissioner and in 1875, the first black justice of the peace elected in the state of Michigan”. And then women who enlisted as men in the civil war and some who stayed as men afterwards.
Basically, a setting with diverse marginalized groups who are competing for finite resources with each other and against white supremacist big-capital & government. Definitely not the clint eastwood libertarian western dream, a time when a man could be free of paying taxes or whatever.
A goldrush, a cattle-trail to introduce diverse cowboys, a desegregated community like Covert Michigan, a faction led by a transgender civil war veteran, various native american factions representing diverse viewpoints, assholes like the pinkertons and mining magnates… that’s the broad sketch!