I personally think they are all around the midwest but one cat can cover so much ground that you never know where its going to go. Heck, the one that was shot a few years ago by my place in Chicago was said to have come out of North Dakota when they did the DNA test. Personally, I think it may have been someones pet that got a little too big and got out and no one claimed responsibilty but it could have migrated down from North Dakota just as easily.
Now, I'm not sure at all about this, but I thought it was illegal to shoot a mountain lion unless it was attacking you if your state doesn't have a season. Again, I'm not sure about that but it is just what I heard out of one state, can't remember which one. If it isn't a law then good luck, I think if I heard they were allowed to be shot and I was in my stand and saw one, I'd let an arrow fly!