Ancient Lakes basically.
Over millions of years ancient mountains eroded, and the iron deposits went into the lakes and settled at the bottom. Eventually due to changes in geography the lakes dried up and got covered with other sediment. Then new mountains formed and eventually we developed the technology to find and mine the iron. So we found the ancient lakes and all that iron deposits where the lakes were.
It isn’t. Many parts of the West have other rock colors – most notably the flood basalts of Montana, Idaho, and Washington, which are black.
You’re probably referring to the [Navajo sandstone](https://en.wikipedia.org/wiki/Navajo_Sandstone), a massive sandstone formation that covers most of the American Southwest in Colorado, Utah, and Arizona. Per wiki, the Navajo sandstone was laid down in a desert in ancient Pangaea, when the western US was flat, low-lying, and very dry. At the time, the environment had giant sand dunes like those of the modern Sahara, and it’s the sand from those dunes that ultimately produced the sandstone. (Of course, that punts the question to why that *sand* was iron-rich, which I don’t have an answer for.)
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