This is a "Wild Mass Guess" entry, where we pull out all the sanity stops on theorizing. The regular entry on this topic is elsewhere. Please see this programme note.
Gun is set in Purgatory
Look at how small the game world is. Plus, it explains why all the Historical Domain Characters around the place and the fucked up passage of time. Colt dies on the steamboat and wakes up not knowing he is, in fact, dead. The rancher leaving? He's served his time and gets to go to heaven.