While Westworld being on Mars or some such otherworldly location is possible, I'm not sure it's the case. If it is, I don't expect it to be something they dwell on. If anything I expect them to keep it vague and undefined. Maybe more hints here and there, but I think outright revealing it to be on Mars or a space station or anything like that, especially if they make it a major detail/plotpoint, muddies the context and overly expands the scope of the show. The average viewer is just going to be more confused ("wait, it's Utah in the Matrix on the moon? I don't get it, that sounds dumb") and I don't think it really adds anything beyond being yet another detail for lore hounds to dissect in a show full of all kinds of details. Subtle hints with no absolutely confirmed location would work just as well if not better.