You don't have to go to the West to make a western (or any other movie set in the American West). Sometimes it's even better if you don't.
Well heck if this isn't a timely list!
Me remember Peter Jackson saying he shot Lord of Rings in New Zealand not because he was from there (although me sure that was factor), but because NZ have so many different kinds of landscape in small radius. Beaches, glaciers, mountains, forest, ocean, rolling fields — all half hour drive from each other. Me was there many years ago, and was in spot where mountains and ocean are closest to each other anywhere in world. Me stood on volcanic black-sand beach, looking out at ocean and contemplating that there was nothing but water until you got to Chile. And then you turn around and practically towering overhead are Misty Mountains straight out of movie.
How could you forget that Stallone and Renny Harlin had to film Cliffhanger in Italy because the Colorado Rocky Mountains weren't rocky enough./
Write-in to knock Bulgaria off: Japan.
Japan has symbolically provided the period settings for a few films (Seven Samurai, Yojimbo) and even had their own takes on the genre (Sukiyaki Western Django, Unforgiven , Prisoners of the Ghostland). Another important fact: Japan was never the setting for a very bad sequel to Texas Chain Saw Massacre.
edit: please disregard my another important fact: https://www.youtube.com/watch?v=dioPo9sIqN0
I think the United States could have its own rankings based on how convincingly the location used represents the location allegedly depicted. The Searchers is a great movie, but when the opening title says TEXAS 1868, then immediately shows us Monument Valley, there's a bit of disconnect. Similarly, any movie that claims to be taking place in Montana or Utah but winds up shooting in Bronson Cavern is immediately disappointing, mostly because Bronson Cavern should be used strictly as a hiding place for monsters in Roger Corman pictures.
"Sometimes it's even better if you don't." Bingo. Sam Elliott is owed the right to an opinion on the fidelity of movie settings, but there is certainly a worthy discussion to be had about the value of intentionally introducing dissonance through settings and shooting locations. Campion's New Zealand stand-in gives her movie an other-worldly quality that amps up the tension and the internal and external isolation of the characters. It works BECAUSE it is shot where it was shot.
I also think of Lars von Trier, who has made a series of fantastic movies about America that were not set in America. Heck, von Trier is on record as having never been to the United States. Something about that remove makes the cultural critiques and tone of his films more potent.
If Power of the Dog had been set in Colorado, I would've had little way of knowing it wasn't shot here.
Montana? Ehhhhh, a little less convincing but it at least gets the feel.