Why not set it in an alternate version of straight Warhammer Fantasy?  It would take a little more work, but you could put together a similar setting by tweaking the world a little bit.  Perhaps a great drought has hit the world.  You could set it in the Badlands as well as a devastated Bretonnia and an Empire that is clinging to life.  

Would make it harder to justify the different races all getting along and intermingling, but perhaps desperate times call for desperate measures?  With Bretonnia and the Empire in a bad way you get a good sized lawless area.  The different races of Warhammer could then fill in for the different sort of pulp action from a Western, without the problems that arise from having Orcs filling the role of African Americans.  As much as that could be done well and be quite interesting it definitely creates some problems.

Ex:
It is 40 years since a pall fell upon the lands.  It was Famine that brought the empires of Man to their knees, though they were not the only ones affected.  The world grew warmer, the grass died, the lakes dried up, and darkness encroached.  The great nations drew their borders back as travel become neigh impossible.  Yet now, finally, things are blooming once more.  The world is easing up and a new age of expansion is about to begin.  All of the once great nations have suffered terribly in the past 40 years.  Now that things are getting better it is only a matter of time before the remaining nations seek to reclaim what they have had to abandon.  An era of Imperialism is about to begin, and as these lands will need to be resettled and claimed it's all going to happen at a backbreaking pace.

Most of the other stuff would be pretty similar.  The Empire and Bretonnia fill in similar roles to North/South, they're both sort of at war with each other now to avoid starvation and to claim as much of the land as possible.  Dwarves and High Elves could fill roles similar to say France and England. 

Whether you take that approach or not you should rework it a bit.  Mythical Cowboys definitely has a cool ring and you've got a number of folk interested.  Cool ideas about Badges offering protection as well.  Just creating a fictionalized setting dead similar to a Western but not set in a Fantasy Races version of the real world will help a lot.

You might also just ignore the Civil War aspect and have a Wild West/Manifest Destiny that's happening without a Civil War, or keep a Civil War but either get rid of slavery altogether or keep it as it was in history (meaning it was man's cruelty to man).  Orcs could still be used as just sort of general baddies.  Sort of like Space Pirate Orcs from WH 40K only they ride around on horses.