Virtually every town (and certainly every city) in America had train service during the early 1900s. Before airlines and paved interstate roads came along, it was literally the only efficient and comfortable way to travel across the country. Which is why railroad hotels and restaurants like the Harvey Houses did such booming business.
Then, as now, the largest concentration of passengers hailed from major cities. But I don't think you can narrow it down to a list of a few "choice" places. Tourists from the East Coast and Midwest (many of whom undoubtedly purchased tribal items in Arizona and New Mexico) hailed from every town and city on the map.
Chicago was a major transfer point back then, as it is today. Passengers from the Northeast, for example, would arrive on railroads like the New York Central or the Pennsylvania. There, they'd switch to trains owned by railroads like the Santa Fe for the remainder of their trip to the Southwest.
The last time I looked, there was a web site partly devoted to old railroad maps from the late 19th and early 20th centuries. You might still find it at:
http://memory.loc.gov/ammem/gmdhtml/trnsmapSubjects01.html
[This message has been edited by dilly (edited 12-07-2002).]