I’d be very wary of changing the name of an established company, as you’re likely to confuse existing customers, who may look for the old name, not find it, and conclude you’ve gone out of business.
There is an awful lot of nonsense talked about SEO. The most important thing you can do is to build good content for your site, and ensure your content specifies that your business covers Colorado only. At the end of the day, search engines will pay far more attention to your content than your domain name or business name.
I can understand that, but I don’t think you need to worry about it.
I think that may be because it’s a short, common word, and unlikely to be included in search terms, so Google ignores it. It doesn’t cause any problems, it just isn’t considered. What people are more likely to be searching for (I imagine) is something like “Colorado speciality buildings” or “speciality buildings Colorado”, and you rank in the top two when I try either of those terms. You also rank on the first page for “pole barns Colorado”, but do less well for “steel buildings Colorado”.
I’d advise you to think of whatever search terms your customers are most likely to use when looking for you, then see how well you rank for each of those. Where the term ranks less well, go back and see if you can improve your content a little. Include “Colorado” if you haven’t already, but make sure it sounds natural and not forced. For example, you could add “Colorado” to your h1 headings. Or you might be able to add in more details, such as “this type of building is ideal for the Colorado climate because…” or “is particularly suitable for the Colorado landscape” or whatever. The more relevant information you can provide, the more it will appeal both to search engines and potential customers.
TechnoBear’s advice is spot on. In addition, keep in mind that the domain name is just one of a large number of “signals” that search engines use to rank a site. Changing any established branding is always something that requires careful consideration. Doing so merely for what might be a very small SEO benefit seems highly dubious.
I don’t know anything about your business or your site, but I’d bet there are other ways of improving your search engine rankings, without jeopardising the the value of your brand.