The American colonization society does not have the political pull to set aside western land for freedmen that white citizens may want for themselves someday.
Out of American territories, logistically, Arkansas Territory (Arkansas-Oklahoma) and Florida Territory are the easiest, followed by Kansas, but the proximity is why slave state politicians would veto the option. There is the issue that freedmen would need to be sent in armed themselves, or protected by feds, or else they have a high chance of not surviving or being killed/enslaved/incorporated by Indian tribes. Arming ex-slaves so close to the south or providing federal protection is a hard thing to get Congressional majorities behind.
It's easier politically easier to select foreign destinations like northern Mexico, but that requires Mexican government agreement and an expensive armament effort to prevent enslavement by the Comanche.
Only Oregon country, past the cascades, has a sufficiently wet and abundant habitat to give large settlements of poor freedmen with no capital a decent chance of surviving, but, there was already enough of a white American commercial presence and settler community to lobby against Oregon country being made a set aside, and the US govt is planning for the area to be its strategic western coast.
And the land journey from Missouri to Oregon is long and treacherous.
After the Civil War, southern objections to alot of schemes could be ignored for the period that formerly seceded states are disenfranchised. So then Indian Territory and New Mexico territory would be the easiest for Reconstruction Congresses to call as set-asides, but by then the Colonization Society, and concept, had long since passed its peak.
If the Freedmen's southwest did happen though, it would be a poor area whether it gets statehood status or remains stuck at territorial status. Because of lack of capital and poverty, Arizona and New Mexico would not have a very magnetic effect on Mexicans, so later Mexican migration routes would be concentrated entirely into the California and Texas parts of the border.