This is the domain of the Navajo Tribal Police. Although Joe Leaphorn and Jim Chee are fictional, the Navajo Tribal Police (now the Navajo Nation Police) are real.
Navajo Nation includes portions of New Mexico, Arizona, and Utah. The large pink area just to the left (west) of the Navajo Nation is the Grand Canyon. The blank space in the middle belongs to the Hopi. The northern portion of this is the Joint Use Area, where the windmill in The Dark Wind was located.
For a more detailed map, click here:
A map of Hillerman locales is shown in Talking Mysteries: A Conversation With Tony Hillerman. (See Books.)
"Tony Hillerman's Indian Country Map & Guide, second edition" (Time Traveler Maps) is available from Amazon.com.
"Indian Country Map" is available from AAA.