This depends on the definition of "Southwest". Sporting conferences, demographic delineations and so forth all have different boundaries:
Arizona, New Mexico are always considered southwest.
Many include Nevada and Utah.
Some include Colorado but this is generally known as a "mountain" or Western state grouped with Wyoming, Montana and Idaho.. 2/3 of Colorado is also considered part of the Midwest or great plains state.
Some include Texas though most include this in "the south" since it was a confederate state.
Some sporting conferences include Southern California, but this is generally known as a pacific coast state.
Arizona.
Colorado is southwest of Nebraska.
Nebraska.
It is the The Centennial State.
Lincoln, Nebraska.
Denver is the capital of Colorado, a state in the southwest of the USA.
Nebraska is the state whose southwest border is Colorado.
There is no such state. Nebraska has a southwest border with Colorado, but its eastern border is with Iowa, not Ohio. Ohio is north of Kentucky and borders Pennsylvania.
Lincoln is the capital city in the U.S. state of Nebraska.
The two states due south of Cheyenne, Wyoming are Colorado and New Mexico. The state capital of Colorado is Denver. The state capital of New Mexico is Santa Fe. Both Denver and Santa Fe are almost due south of Cheyenne, Wyoming.
Wyoming is the state that is Southwest of Colorado and East of Iowa. It's capital is Cheyenne. The state is very unpopulated compared to the other two states.
It is in the Southwest.