The fictional location.

Buffalo Bill's Wild West show travels around the USA and to Europe in the last part of the movie.

But most of the movie happens on the frontier, near an unnamed Fort. There seems to be a civilian settlement nearby, with a school and an agency for an Indian reservation.

In one scene Buffalo Bill rides into the fort and says he saw a large Cheyenne war party about 20 miles away, "on the left bank of the Smoky". On one hand, the fort could be on the Smoky about 20 miles upstream or down stream from the war party. On the other hand, the fort could be about 20 miles away from the Smoky. Or it could be in between.

Since the Smoky Hill River travels mostly west to east through Kansas, the fort could be one of the historical forts on or near the Smoky Hill River, possibly Fort Wallace or Fort Hays, or a totally fictional one.

[10-9-2024. Looking downstream, the left bank would be the north side of Smoky Hill River. Fort Riley, Kansas, is at 39°06′N 96°49′W and at the Junction of the Republican and Smoky Hill Rivers. Fort Hays, Kansas was at 38°51′42″N 99°20′32″W and about 10 miles north of the Smoky Hill River. Fort Wallace, Kansas. was at 38°54′18″N 101°33′34″W and about a mile from the nearest bends of the Smoky Hill river.]

So Buffalo Bill's adventures on the plains in Buffalo Bill (1944), were mostly in Kansas, except when the cavalry rode north for the Sioux War and stopped the Cheyenne from joining the Sioux at the Battle of Warbonnet Gorge.

When Buffalo Bill and Sergeant Chips McGraw travel east in 1877, their train makes a stop at Council bluffs, which is apparently Council Bluffs, Iowa. The next stop is Liberty Missouri, near Kansas City, then St. Louis, Missouri, and then Cincinnati, Ohio. Fort Hays is at 38 degrees 51 minutes north, Council Bluffs is at 41 degrees 15 north, Liberty is at 39 degrees 14 north, and St. Louis is at 38 degrees 37 N. Wallace near Fort Wallace, and Hayes City, near Fort Hays were on the Kansas Pacific Railroad from 1869, as were Liberty and St. Louis, while Council Bluffs was the eastern terminus of the Union Pacific railroad, so their route doesn't seem to make sense.