This image says it all.

I thought it would have said “By Archibald McGregor”

Swing north to avoid the Pinkertons then head back out west through Illinois. If the gang keeps a low profile on the way than the Pinkertons would never expect it. Or they could prowl around the Great Lakes area, setting up across the border in Canada and crossing over whenever it was convenient, but then it wouldn't feel like a western game would it?

It’d be cool if they left Nuevo Paraíso in the game and integrated it to where the gang fled south to Mexico.