The Klan penetrated both parties in Colorado in the 1920's, but most deeply into the Republicans. In 1924 they elected a nominally Republican Senator and Governor. It was a rather brief era and both were turned out in the next election. A multiple term Democrat Mayor of Denver, Ben Stapleton, began his career with Klan affiliations and support.
Strongly Republican El Paso County (Colorado Springs), backed by Republican leaders, kept the Klan out.
The Klan hold on Indiana was largely a power move by the local leader, D.C. Stephenson. He was a real piece of work. Anyway, the Klan in the 20s was less worried about about blacks than immigrants and Catholics.