US state in the Rocky Mountains (8)
I believe the answer is:
colorado
'us state in the rocky mountains' is the definition.
(I've seen this before)
This is all the clue.
(Other definitions for colorado that I've seen before include "River running through the Grand Canyon in Arizona" , "Denver's state" , "State in the Rockies" , "US state, capital Denver" , "US state has a cool road, oddly" .)