OK, another very old thread to revive: it actually begins with sort of a prologue that takes place at Machu Picchu.
In the book, the character that's pretty much the hero in the film (but not so much so in the book) has been to the US West, but it does not take place there either. I cannot remember whether the character mentions that in the film.
Then there are the two films with Lex Barker that take place in Mexico. (Hey, look, shooting one story in two films is an old practice!)
http://www.imdb.com/title/tt0059682/combinedhttp://www.imdb.com/title/tt0059621/combinedThese are not exactly westerns, either; more of an adventure epic, except it's less epic than you'd expect from that word...