The Cheyenne lived in the area of what is now Minnesota at the time of their first contact with the Europeans. Also, they were at times allied with the Lakota and Arapaho. They migrated west across the Mississippi River and into North and South Dakota in the early 18th century.he Cheyenne of Montana and Oklahoma speak the Cheyenne language, known as Tsehesenestsestotse (tsêhésenêstsestôtse common: Spelling). Tsisinstsistots approximately 800 people Speak cheyenne In. Oklahoma only a handful of vocabulary differs between the two. locations