A river in Minnesota
Cheyenne people are related to the Algonquin people, and from the Paleo-Indian period onward they lived in the Great Lakes area (in modern Minnesota), along with other Algonquin people like the Cree. "Cheyenne" is a Sioux word for "people who speak a different language" - it's not what the Cheyenne called themselves.
Unlike the Algonquin and the Cree, though, Cheyenne people lived a little further south, so they could farm corn like their neighbors, the Mandan, the Sioux, and the Crow. Like the Crow, the Cheyenne lived in earth lodges in villages. They made pottery.