Why was Lester in Montana? He should've gone to Mexico. He lived like a dumbass and died like a dumbass.
Noah Hawley answered this:
UPROXX: Speaking of that, why did Lester end up in Montana?
HAWLEY: Some of that was just the location. We shoot in Calgary, and we’re about an hour from the mountains. We’d been shooting away from the mountains the entire time, so it seemed nice to end on this incredible mountain vista with a frozen lake. That’s obviously not Minnesota. But I like the idea that he’s fled, and he knows there’s no way he’s going to explain any of this. And he’s very close to the Canadian border.
It's the last part that I assumed, the fact that he was close to Canada (those were Border Patrol agents going after him). I figure Lester thought if the pressure got too much, he would just hop over to Canada. Again, Lester lived like a dumbass and died as one.