It really depends on the types of stories you want to tell and characters you want to play. There's nothing that says you can't incorporate a whole bunch of Native American history and ideas into your version of the Dresdenverse. So far in the novels there have been a fair number of Native American myths and monsters that have shown up, and Listens to Wind is a senior member of the White Council, I say go nuts.
To me it would really come down to what types of stories you want to tell, rural locales, small towns, and small cities have a flavor all their own. You also have the advantage of knowing your own surroundings and what can be mined for story potential. Big Cities have the advantage when you're doing the Vancouver Method, as those cities get to be in lots of media, so everyone has at least an idea of what they are like. Since that is the case you can also tell certain types of stories, or just emulate certain shows, movies, and books that are set in those big cities. What sort of genre excites you and your players, if you don't think you can tell those stories in your home town or a nearby Montana city then you should probably think about coming up with a new location.
Now if you asked me to set a game in Montana I'd be at a loss as to where to start even if you let me set it in a city like Billings, but being locals you know what your town and state is like and you can imagine it through the Dresdenverse's urban fantasy lens a lot more easily and probably make it an awesome place to set a game. So really it comes down to you and your players and what you want from your game. Either way I hope you post your city and setting here, I'd like to see what you come up with.