That's the point of the song, though - a cowboy died doing rodeo in Cheyenne while his wife was back in California, and she went crazy in her grief and ran out in the ocean and committed suicide. So she haunts the beach, walking the sands "of Cheyenne" (so poetic). I've had a theory it was Garth's little homage to "Ocean Front Property", where from George's front porch in Arizona he can see the sea.
Back on topic, the stick figures hooked me. That creepy device freaked me the heck out watching Blair Witch Project, and it did it again here. Although I admit, I'd be curious to see AHS: The Mist.