New Vegas is a city and possible colony, located in Thailand, where S.D. "Snake" Plissken was gunfighting for profit. He was also caught here by United States Police Force for the second time.
Little is known of the city, other than it's location in Thailand, as well as the fact that it is somehow a US territory. Judging by the scarce information given, it is presumably a colony-like entity managed by the US government, possibly acquired during World War III.