The West Mesa desert is a location that Breaking the Bank, Escaping the Prison and Infiltrating the Airship all seem to take place in.
Location
The West Mesa area is infact a real location, in New Mexico. The West Mesa Penitentiary and multiple Center for Chaos Containment centers are located there, along with the bank.
Appearance
The West Mesa appears to be a normal and completely unremarkable desert with multiple centers for chaos containment and other government buildings present such as the West Mesa Penitentiary and the Bank.
Purpose in Story
Henry Stickmin attempts to break into a bank presumably in the West Mesa region in Breaking the Bank, before being arrested on the spot and being taken to West Mesa Penitentiary where he either escaped or successfully won a court case.
In Stealing the Diamond a Chaos Containment center appears in the West Mesa before deploying a massive robot to neutralize the chaos in the museum.
After being captured and recruited by the government, Henry Stickmin is sent to bring down the toppats, whose airship is currently above the West Mesa area. When Henry steals the Toppat's ruby, he causes the entire airship to go down.
It crashes right next to the nearby Chaos Containment Center, which begins to evacuate. It is presumed the chaos containment center from Stealing the Diamond is also present in the distance.
The West Mesa area is no longer seen after that point, although during the Teleporter fail in Completing The Mission, on the Jewel Baron path (PBT+ GI), a area Henry is teleported to might be West Mesa.