In the movie, the boys' home state is Wyoming as well as Sasha saying that she grew up in Cody, Wyoming. Eric Bischoff, the Vice-President of World Championship Wrestling during the making of the movie owned a home and lived part time in Cody, Wyoming.
After the boys are picked up in Wyoming by the traveling nuns, they are shown passing the same farm storage facility twice, during the day as well as during the night. They also pass the same farm storage facility on their way from Georgia to New York.