Yes, there's this one:
http://www.friendsandco.net/
The town also hosts the Yellowstone Quiltfest, in Sept. I think.
And if you don't mind driving about an hour east of Cody, go to Greybull and Big Horn Quilts:
http://www.bighornquilts.com/
If you're driving through Wyoming from Indiana on I-90 then over the mountains, several towns along the way have nice shops. In fact, there are many wonderful quilt shops in Wyoming :-)
Oh, and Sue (who's on the QB) has a great web based quilt shop, out of Thermopolis, WY, which by Wyoming standards is "in the area":
http://www.sewezdesigns.com/