This particular phrase reflects the fact that, prior to the end of the war between the U.S. and Mexico in 1848, much of the land south and west of the Arkansas River had belonged to Mexico. Hence, before 1848 the portion of the Santa Fe Trail from Bent's Fort to Santa Fe, New Mexico was Mexican, not American. By 1865 all of the Santa Fe Trail was obviously completely within the boundaries of the U.S., but Frank's reference to going "back to the States" is a holdover from these earlier times.