In southern Colorado coal is pretty easy to come by. Just ask some of the locals, cause most everyone that doesn't live in town keeps a small supply for cold winter nights. I use to buy from a fellow in La Veta, and there was another good supplier over in Gulnare. Usually 1/2 ton would last me the winter with the wood I cut and burned.
Up north I know there is was coal dealer in Idaho Springs, and I'm pretty sure there is one in Frisco, but it's been a few years since I spent any time there.
Be careful how much coal you load in the stove, it will get very hot if you don't have real good air control.