First of all, I'm sorry I haven't got back to this for a while; various other things distracted me. But I'm back to answer these comments.

Does the Cupacabra get out there much?  Then there are Skinwalkers, evil Bruha's and all kinds of imported Arabian myths that got imported over there along with the Ibex.  Which has been saved from extinction by big game hunters looking for the thrill of the hunt and eventually the herds grew large enough to wander off the hunting reserve.

Well, I haven't figured out anything with the Cupacabra (I'm toying with them being magic detectors or something like that). I think I'll feature Skinwalkers as monstrously powerful shapeshifting sorcerers instead of the terrifying monster they are in Dresden Files. Brujas will be the local Southwestern term for any pracitioner of magic; Anglos, Hispanic folks, and everyone else will use it. Not sure on the Ibex; don't know enough about them to do much.

A massive amount of American folklore, with the exception of any Native American legends, comes from the folklore of the European settlers who travelled there. One of the great things about writing urban fantasy set in the US is that you can draw on any culture's myths and legends for inspiration.

If you want to take inspiration from the Church of Latter-Day Saints, you've got all kinds of Biblical lore to work with. After all, if Jesus came here, what else might have followed him?

Yep; that's why I love the Dresden Files, and that's why I'm writing my own urban fantasy. I can fit whatever I want into it. As for the Native American legends; I want to feature the Wendigo (probably something to do with the Donner Party), but besides that, the skinwalkers/bruja, and Coyote, I don't feel comfortable enough in my knowledge to know what Native American legends to have in the story.

And thanks for the Biblical ideas; that makes so much sense. And perhaps various supernatural creatures keep moving to the Americas as huge sources of power (the conquistadors, immigrants, etc) keep showing up in the Americas?

I wonder how you'd execute that?  King Noah as a wraith perhaps or Lamen and Lemuel, guys who saw angels multiple times and still turned away because of jealousy over their younger brother, only to be cursed and all their children cursed with dark skin come back as some kind of baddie.  As well as a whole host of jewish demons and uglies who (logically for our magical) followed them over from israel?  Not sure.

In the Iron Druid series 'belief' in folklore and folk tales brought them to life, so I suppose if we're using that kind of paradigm a lot of things are possible, up to and including the Stake Puft marshmallow man of Ghostbusters. 

I don't think I'll actually include too much Book of Mormon stuff; might seem esoteric and insular to any readers I might have. I might have a few situations where the main character speculates if something he's encounter is from the Book of Mormon though.

American Gods did it similarly, to the point where if the Gods believers thought of it as a New World, they got a new version of their god, while the old one went about his business back home:
"So yeah, Jesus does pretty good over here. But I met a guy who said he saw him hitchhiking by the side of the road in Afghanistan and nobody was stopping to give him a ride. You know? It all depends on where you are."

As far as what could follow him, even absent other gods/religions, you could have any number of demons, or maybe even the Livestock that Jesus put the Legion Demon(s) when he yanked it/them out of somebody.  You could have any of the Immortals (Cain, Lazarus, Longinus, etc) show up, most of the Saints could be fair game, as well as any angels you could think of.  Having them play the part of feuding foreigners with the local Native deities and hero's getting drawn in could be fun.  I dont know enough about the Mormon side of the mythos you'd be tying it to, but there have to be hooks in there somewhere.

I like the idea of "feuding foreigners"; I've already decided that several characters will be immigrants and refugees (or descendents of such) to Utah. I'll have some interesting Biblical and modern-day Mormon influences (and of course characters), but again, I feel uncomfortable using Book of Mormon characters. Definitely will have Coyote feuding with foreign gods and demons though.

Speaking of, you could have local legends evolve into gods or godlike creatures. A local man who saved a family from a burning house suddenly gets so much praise from newspapers and local tv stations, he is celebrated as a hero, and suddenly all that praise reaches critical mass and elevates him to god status. He might not even realize this.
Of course, there are also the stories about monsters in the woods, the shadow under the bed, the creepy man in the house on the hill and things like that, and a lot of people know those stories and even if they don't really believe them, it sticks with them and that gives them power.

I'll definitely use the "legends gain power" idea. Probably at the level of "gods" (except Coyote and a couple of other beings), but close enough, ala the Queens of Winter and Summer from the Dresden Files.

Cactus Cats, Hoopsnakes, and Jackalopes.

I'm only familiar with Jackalopes and even then I only know the basics), but I'll definitely check those out; do you have any good sources on those?

You might also look into the "witchcraft" of the area which is as distinct as voodoo/hoodoo to the geographic range.  Diableros, Brujas, curanderos, naguals, and the like. I would recommend looking into some of Carlos Castenadas works for inspiration, but for God's sake, don't smoke the jimsonweed.

I'll have to do that, thanks for the info.