In 1807, a time traveler and his motley crew were wandering about the US West, trying to find a good bar and whorehouse. They went from territory to territory, not finding anything suitable.
Finally, they decided to form their own damn state. And so, they built their own bars and brothels in present-day Wyoming and named the capital after their leader, Moondust Cheyenne.
The rest of Moondust's fellows named towns after themselves: Matt Casper, Kitty Laramie, Kenneth Evanston, Jes Rawlins, Chris Rocksprings, Eric Greenriver, Todd Kemmerer, Mikey S. Jacksonhole...