Just a quick point:
From
Religion & Public Life in the Mountain West: Sacred Landscapes in Transition, a detailed survey/analysis of the region...
There are
three religious cultures in the Mountain West.
Arizona and New Mexico are dominated by Catholicism.
Utah and Idaho are dominated by Mormonism.
Colorado, Wyoming and Montana are dominated by pluralism (i.e., there is no one dominant religion, and plenty of 'seculars').
Naturally, it's more complicated than that, but it's a good rule of thumb.
And no, they do NOT consider Nevada part of the Mountain West.