If they launch from their Vandenberg launch complex they can "easily"[1] land in the high deserts of California or Nevada. Although I believe the plan is to return to the existing pad. And in answer to the expense question, 9 merlin engines are pretty pricey compared to just fuel costs.
[1] scare quotes because I know its never easy to land and California or Nevada east of Vandenberg for minimal delta-v requirements.
Vandenburg AFB is used for placing payloads in polar orbits, which means they launch north/south. However, because of the population centers north of the AFB, they generally launch all vehicles south. This mean launches will happen over the Pacific Ocean, and they would not recover the first stage in the high deserts of California or Nevada.
As washedup accurately points out they only launch south because in the event of a scrub they are over the ocean. And while Spacex could request an eastward flight plan, its unlikely the FAA would grant such a request because it is unlikely that SpaceX could assure them adequately that Bakersfield would not be at risk. For grins and giggles I confirmed this with the Air Force (their response was "Safety concerns restrict the available launches from this facility."
[1] scare quotes because I know its never easy to land and California or Nevada east of Vandenberg for minimal delta-v requirements.