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?
They’d have to make their way through The Great Plains though, and even if they took a boat, the police would check it once they passed Blackwater’s shores.
That is true, or if they didn’t rob the bank in Saint Denis and didn’t kick up attention, they could’ve potentially taken a boat out of Saint Denis harbor and made their way south in the night and hit Mexican soil that way. But then again, like you said, the law would probably catch up to them.
