Is it true that "[sand] grains in the Coconino Sandstone come from the Appalachian Mountains"?
Jeffrey Ralh of Yale and coauthors published Combined single-grain (U-Th)/He and U/Pb dating of detrital zircons from the Navajo Sandstone, Utah, which concludes that Navajo sandstone originated from the Appalachian Mountains.  A review of the article is found here: http://www.geotimes.org/nov03/NN_navajo.html.

Rahl et al. propsed that a large river system transported the sediment.  

However, Ralh's research concerned only Navajo sandstone, not Coconino sandstone as far as I know.  

U–Pb ages of detrital zircons from Permian and Jurassic eolian sandstones of the Colorado Plateau, USA: paleogeographic implications does investigate Coconino Sandstone and other sandstones from the region and discusses what fraction are of Appalachian origin and transport mechanisms. 

34% of Coconino Sandstone zircon grains are reported to be of Appalachian origin in table 4.