No filming ever took place in the actual city of Truth or Consequences, New Mexico.
In 1999, just two years after this film was released, the town of Truth or Consequences again attracted attention when it was discovered a serial killer named David Parker Ray had been torturing women there for several decades.
Donald Sutherland was considered for the role of Sir (played in the film by Martin Sheen), but declined the part because he was busy filming Der Auftrag (1997).