In his mind, Lee's movie represents a true depiction of the West, or, as Lee tells it, Saul thinks his movie is "the first authentic Western to come along in a decade" (2.5.84). The funny thing about this is that Austin sees Lee's movie as completely unrealistic. Even before their falling out over whose movie is going to get made, Austin tells Lee the story is "not like real life!" (1.4.71).
So, Lee thinks he understands something about the true West, but Austin sees it as pure fiction. At the same time, Austin grows to long for the desert and to escape to the West that Lee talks about. He himself starts to get this picture of a true West. Eventually, though, Lee admits, "I'm livin' out there 'cause I can't make it here!" (2.8.257-258).
What we come to realize through the brothers' views on the West—through the coyotes yapping just a little down the road from the suburbs, from Saul's notions of authenticity, and from the lives Austin and Lee have led—is that there is no true West. There is only the idealized vision of the West that has been mythologized in movies and in the minds of men who are unhappy with their lot in life. There is no true West to go to. In fact, no true West (in the way that it's portrayed) ever even existed.
This theme runs throughout the play, but it affects Austin and Lee on a very personal level. Neither man is able to live in the true present. Both are caught in the illusion of world that doesn't actually exist. Even though Austin argues that the West no longer exists, it turns out that he really wants it to. He wants to escape to the desert like Lee did.
Unfortunately for the brothers, this idea—this illusion of the West—simply proves that they will never be truly happy where they are. They're always looking to a fictionalized past and to a created version of the future. They can't go back to the West as they see it, because it never really existed, and they can't escape to the West as they see it now, because their version of it just isn't there.
It's all a little tragic and sad for these boys, but they do manage to instill some of that Western spirit into the 'burbs. By the time they battle it out at the end, they're like two wild animals—untamed like the mythologized West itself—facing off in the kitchen of their mom's house. Of course, this type of behavior doesn't really go over well in decent society, so we're left with two men who are, in a way, caught between two worlds: the real world and their ideal world, their "true" West and the West that actually exists.
On a side note: the idea of the mythologized West is a big time theme in a lot of Western and Southwestern literature. People like Larry McMurtry, James Michener, Cormac McCarthy, and Rudolfo Anaya tackle it quite often.