Never heard of them. What did the Club do during the war?
Split, half to the Union, half to the Confederacy?
Maybe a tanker from the Rocky Mountain State knows about them.
Given the context, it appears to be a New York based social club. It might have been a predecessor to this that I found in Wiki:
The Rocky Mountain Club was incorporated in New York City as an "Eastern Home of Western Men" with the purpose to "create good-fellowship among the members and advance the interests of the Rock Mountain States." John Hays Hammond was the only President. The original directors were: W. B. Thompson, A. J. Seligman, John Campbell Cory, B. B. Taylor, Frederick Russell Burnham and J. J. McEvelly. Theodore Roosevelt was a prominent member, along with U.S. Senator Thomas Kearns of Utah and U.S. Senator W.A. Clark of Montana.