Looks like the Star Herald was the paper in Scottsbluff, Nebraska circa 1922. Ancestry.com has digital copies of the paper beginning in 1940 but a person at the newspaper, which still prints, should have an idea where to find older copies or microfiche.

If it is not reported in the Star Herald, it might be possible to look for newspapers in larger towns further west (maybe Cheyenne) along the rail line. Combine info with above notes and it should give you an idea of when he was in your area. The Bambino in any town was a huge event (very well covered in the day) and doubt it would be missed by any reporter. Hope this helps, good luck on the research.