Probably a better chance of getting bed bugs at a seedy motel then getting broken into.
I've hunted in NM, WY and CO, spent time working in NM and CO and I've never had an issue.
I cable lock anything in the bed, guns and pack with optics come in the room. Park under lights and as close to the entrance as you can. Bring your stuff in through a side door so the front desk doesn't see what you're bringing in.
I'd be more worried about your drive out. Indy, Columbus, St Louis, Little Rock, KC and most those cities you could stop in on the way out make me much more nervous.