I don't know much about it, but I recall a western-song group at Winfield (Bluestem, I believe) explaining that the sentiment had to do with the feeling that the wide open spaces were an awful place to be stuck alone for eternity. Presumably the corpse-to-be was from a densely populated area, perhaps a European immigrant, who found the desolation of the prairie to be eerie and unsettling, and wanted his final resting place to be one he felt more comfortable with.