After just a short inventory take, the down-on-luck posse decides together that they need to know their options and understand the environment they're in. Fortunately, Isaac had packed a length of rope, so when Kane has the idea to climb the rock face, he fashions an improvised grappling hook from a tomahawk and a knife he ties together and - first try - manages to hook it on top of the nearby plateau. The anchor is strong and the grizzly man has excellent upper body strength, so he's up on the edge in a matter of moments - it's very impressive to all those who remain down on solid ground that he scales the 25 feet sheer cliff so quickly.
Once up there, he (and anyone who climbs after him, except Adelita and Isaac who wouldn't make the climb without help, they'd need to be pulled up) gets a much better overview of the locale. Short-distance, you are indeed in a "maze" of canyons, with islands of plateaus just likes this one creating it naturally. Of note is that the maze exit is nearby; your captors only lead you so far inside. Perhaps they were afraid of getting lost themselves. To the south-east, just a bit past the narrow eastern pathway, there is a depression in the rock wall, possibly a cave that could offer some shade and shelter.
What's noticeable once looking a bit further out is that on all the other sides, the "maze" goes on a bit further than it does to the north, but still, it's not big - two or three miles, tops. Kane also warns everyone of an impending heat wave he can discern from looking at the horizon; the temperatures are likely to reach 130°F (54°C) pretty quickly, and with your limited water supply, that will be just as dangerous as a bunch of bandits with guns.
Furthermore, the view along with the bit of map you have gives you some clear long-term "options", if they can be called so:
Pretty much directly east are the San Juan mountains, which are green and livable; Kane estimates roughly 100 miles out. Little civilization, but plenty of wildlife and foraging opportunities. Could use the relative safety of the forest to reach Deseret, Denver, or Santa Fe / Abluqerque.
North-east is Denver... that's probably a bad idea for you all right now. But it's "only" around a 100 miles out . . .
The town of Amarillo is probably a bit south west of your location - but around 300 miles out.
The safest option seems to be reaching the Black Mesa mountain, which is around 80 miles out, and then further 10 miles south you know is the Santa Fe trail, which was an important trading route and despite the railroad up north, still saw some use. From there, you could easily reach either Santa Fe itself, or Dodge City.