I went to one of my favorite sources for ASJ trivia, Kid4Ever, and she wrote:
I went straight to the source - the ASJ script - and according to it, Soapy's mansion is atop of a hill in San Francisco. Where the confusion lies as to whether it was San Fran or Denver, MAY be that the real Soapy Smith operated mainly out of Denver.
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"Do you ever get the feeling that nothing right is ever going to happen to us again?" - Kid Curry