It would be better, if the open map was rearly "open" and at the edges of the map, use things to stop you, but make them look "real" -
a massive minefield, with barbed wire - The wire stops you, and you can see the minefield, but cant get to it.
check-points with say "NCR" that wont let you past - These checkpoints open up the possibilities of future areas as add-ons?
Rivers that you cant swim (maybe shark type thingies that attack and eat?)
The "Rockies" as in to go any further would involve such a fall, you would die before hitting the ground?
These things and more, make the game feel "real" as you have a reason why you cant go any further?
Exactly... Most people are willing to go along with the fact they can't go any further if you give them a damn good reason not to. A field fill with dead... well everything would be enough to convinced most people to turn back. A few signs similar to the Yucca Radioactive Waste Storage facility warnings. People will get the idea and be convince to turn back. Psychology folks. It's all about the psychology behind it all.
Also to send home the minefield idea, have a crow land in the field and blow up when the player is looking out across the field. If that doesn't make the player think, "Nevermind, then. I'll go back the way I came."