I understand. I'm trying to convey something that I don't think has reached you correctly, though.
Consider the first two of your elements there: Gunslinger/wandslinger duels and train robberies. I think both of those can work at low levels and can convey the feel of a Western.
However, how do you want to handle 10th level PCs in a wandslinger duel? Do they stand in the street and blast each other back and forth for 30 seconds? You can make it work, but it isn't always clean. For example, I created a Wandslinger feat a ways back that allowed a wand wielder to deal sneak attack damage on top of their wand damage as if they were a rogue/thief of their character level if they spent a round preparing.
A train robbery sounds exciting, but a couple Dimension Door spells ... you get into that realm where either it is too easy and not a challenge or you become the restrictive DM that shuts down PC abilities to make sure you can run the game you want to run (The train has anti-teleportation magic!). Yes, you can say things like, "In a world of magic they need to prepare for magic" - been there, done that - but that does not change how it feels to the PCs when the abilities they invested in taking are brushed aside.