Here is a "secret" road that leads into Colorado.
How to Find Hidden Road to Colorado
Crossing the Border
You'll need the Utah DLC to do this!
In Vernal, UT, start heading over to the truck station near the UT-CO border. It would help to quick-travel to the garage in town if you own it already.
Once you're there, casually just slide around the "barrier". I did this on my first try, and it shouldn't be hard at all to pull off.
Keep on driving the road for a minute or so, and you'll reach the border signs. Hello, Dinosaur!
The town of Dinosaur, CO, can be driven through and you can even gas up in town! The companies that you can deliver to/from can be seen, but you can't make any deliveries (yet).
The town itself looks very detailed, and it was nice to explore!
However, it seems there are lots of tourists coming from New Mexico... In fact, every license plate in town was from NM! I guess CO license plates haven't been put in-game yet.
Now you'll be presented with two options. Continue going eastward, deeper into Colorado, or turn right and head south. Both roads are surprisingly open to you!
The Road to Craig (Head Straight)
Feel free to continue going straight, even past the second "barrier", and see the countryside! You'll pass a couple farms, but you'll hit the end of the world before you can actually get to Craig.
The Road to New Mexic-oh... (Take the Right)
After seeing that Craig was devoured by that Sarlacc from Return of the Jedi, I headed back to Dinosaur and headed southbound.
Sadly, there's another barrier that actually serves its purpose, and I couldn't pass it. However, you can take the right turn and head south in the direction of NM, passing the rest of Dinosaur.
More road awaits you. Driving down it, I just started to think that I would end up in New Mexico after awhile. However, it seems that I was wrong and I had to quickly hit my brakes before I fell off the edge of the map.