Pueblo is comfortably inside Zone 5. Pecans are produced in a green husk like their cousins the walnuts, butternuts and hickories. Native to America, they grow naturally in river valleys from Mexico up along the Ohio and Mississippi River valleys. Most commercial pecan plantations are in the south where a long growing season allows slow development of easy-cracking papershell varieties. Not all are papershells, and size and flavor will differ from the Alabama or Louisiana nutmeats you can buy in the stores.
Trees are nursery-grown in the south.
One well-recommended variety for the North is Colby. Like all pecans, it produces best if cross-pollinated. Pollen is carried on the air, so trees can be spaced up to a mile apart. Some varieties can reach 100 feet and live for a century or more, so space them well in full sun on deep, well watered and slightly acid soil. Zone 5 is at the upper end of the pecan's range, so you should protect trees from late spring frosts that can kill buds and reduce yields.