That is interesting, but probably the reason is the highly active/outdoor culture of Colorado leads to lower obesity rates and people who are less obese move to Colorado.
The science on this altitude effect has been pretty thoroughly conducted, with potential correlating factors accounted for in multivariate regression models.
Denver and its suburbs are FILLED with people who are as unhealthy and inactive as the rest of the country. Even in these places, in the poorest neighborhoods, they are less obese.
I have an identical twin brother who lives in Portland, and since I've moved here I've stayed about 10-15 lbs lighter than him. It's a single, anecdotal data point, and completely unscientific, but he swears he eats healthier than me lol.
In the article series I think parent is referencing[0] they talk about Colorado along with a bunch of other things people come up with based on "common sense".
Notably higher altitude alone seems highly correlated with lower obesity and diabetes rates regardless of physical activity. Again, this points to environmental factors.