A Cluster Of States
A similar question was asked a couple of years ago, and I posted a graphic showing a cluster of five states, all of whom have good gun laws, good hunting, and low population densities.
Basically, if you put a pin in Utah, you will find yourself surrounded by gun-friendly states, all with the good hunting/lower population thing.
We lived in Nevada for a lot of years, most of it in Southern Nevada. That place has kinda become "Los Angeles East" over the last several years, so we moved north to the Reno/Tahoe/Carson City area, which is way better. Nevada is "open carry/shall issue" and Northern Nevada has open country, hunting, and all that jazz.
However, having a border with California occasionally has its down side, and we elected to look for something a little less encroached.
We wound up in North Idaho (in the Coeur d'Alene area). Idaho is also "open carry/shall issue" and, if you're a DD214 guy, you already meet the requirements for a carry permit.
I would have been equally happy with Montana or Wyoming, but I work in the geek fields, so a certain amount of high tech industry is required. The company I work for is in Spokane, WA which is a medium sized metro city. My commute is about 30 miles and about 35 minutes. We have an absurd amount of forested land, a lake on every street corner, and no "helmet law" for bikers.
Utah, Colorado, Arizona . . . all good places. AZ is hot unless you live at elevation (Prescott, Flagstaff, etc.) and it's closer to the border than is comfortable for me.
Utah is good, though SLC seems to have picked up some kind of political infection. Colorado is also good, with the same caveat about Denver.
Have a look at the map of the states around Utah.
There are worse things than living in a state that has what you need and is also bounded by neighbor states that also have what you need.