Well it all comes down to he didn't keep his promise which I guess he had promised her of a life in California so I guess she is in California but her mind and heart is in Cheyenne. That might sound dumb but it's a song than can be taken many different ways and has maybe more than one meaning, I guess it's up to the listener, Just leave it up to your own imagination, it's a good song and beriddled we all know there are no beaches in Cheyenne so while she is in California walking the beach her mind is in Cheyenne.