According to the director's DVD commentary, the casinos in Elko were "too crummy" for shooting. The casino scene was shot instead in the Peppermill and Rainbow casinos at Wendover, Nevada.
Originally, Shepard wrote the character of Sky as part Native American, but because of Wenders desire to cast Sarah Polley, that aspect of the character was set aside. Both agreed that her being Native American was not essential to the character, and Wenders had wanted to work with Polley because he'd been so impressed with her acting in past projects.
At one point, Howard's mother asks if Howard ('Sam Shepard (I)') is trying to runaway like Jesse James (also evidenced by a poster, Howard played Jesse in a movie within the movie). Shepard would play Jesse's brother in The Assassination of Jesse James by the Coward Robert Ford (2007).
When Spence and Sutter make a nighttime fuel stop hours after they've supposedly left Butte in broad daylight, signs indicate this scene actually was shot in Butte.
Earl: [singing]
Where is Howard? Who is Howard? We wanna know, we wanna know. Where is Howard? Who is Howard? Where did he go, where did he go? He's down in the ditches. He's down in the ground. Disappeared himself. He's no-where to be found! Where is Howard? Who is Howard? He's long gone, he's long gone.