"You've heard of the Sierra Madre Casino. We all have, the legend, the curses. Foolishness about it lying in the middle of the City of the Dead, buried beneath a blood-red cloud. A bright, shining monument luring treasure hunters to their doom..."
Dead Money is set in the Sierra Madre, an opulent and extravagant resort that was to be the greatest casino in the west, except that it never opened. Bombs fell before the gala opening, and the Sierra Madre froze in time, its state of the art security system locking the place up tight. Nothing could get in, and none of the guests could escape. The security holograms then activated and the once glorious event turned into a slaughter. After many years the climate control and air conditioning systems within the facility began to spit strange toxins into the surrounding city, causing a red cloud to form over the area - which proved lethal to anyone who tried to explore the city. Only a mysterious group called the ghost people survived to call the city home, trapped inside what appear to be Hazmat suits, they wander the streets never speaking to their victims, only capturing them alive and dragging them away to the depths of the city deep within the Cloud.
And so the Sierra Madre faded from memory, only occasionally being seen in posters across the wastes, until it took on mythic ghost story status, a supposed "City of Gold" in the Wasteland where all the treasures of the Old World were rumored to be held.