You get California, Nevada, and Arizona (free dlc) for now. They're currently working on New Mexico, but I'm not sure if they've actually given a release date for it.
Well, how much further West are you expecting to go in American Truck Simulator? West of California is the Pacific Ocean, so unless it's a Transformers simulator, I think that's it.
Strongly recommend Blue Velvet and Wild at Heart if you're new to Lynch. Watchable, weird, but not incomprehensible by any means. Start here and then go from there.
I don't know; Blue Velvet made about as much sense as The Maltese Falcon, which is to say. . . not that much.