I think you are right that Conner ( who changed his own name in AZ) changed names to protect people. He admits at one point in his book that he was an officer in this outfit himself; a Lt. or Capt.
Then who was "Heffner or Heffiner?" No evidence but two guesses. It had to be a Southerner rich enough to outfit 500 men, and both Conner and the Yankees agree there were 600-1,000 men around Mace's Hole in 1862. That narrows it, probably to 2 men 1. Russell Green, the original discoverer of gold in CO, who fled (or tried to flee) CO immediately after the Mace's Hole blowup, described by Conner. I've seen nothing else to link him though. And the Yankees never had anything on him or suspected him. 2. George A. Jackson, who later emerges in Texas as a shadowy CSA Lt Col running clandestine operations behind Yankee lines, the Kennedy operation in California, for example. Jackson left nothing to link him to anything, however. He was always very secretive about the War. If Conner made up the quote where Heffner complains about outfitting 500 men, then Heffiner could have been anyone.
There was coordination with the CSA in NM. Three men from CO joined up with Sibley's Special Ops group, the "Brigands" under Capt. George T. Madison and returned to CO with them from Mesilla and one returned yet again to CO in the Fall of 1862 for several weeks. They already held rank as officers in whatever organization the force at Mace's Hole was. Madison and his men (30-50)were sent to CO as the Army of New Mexico retreated to San Antonio. There was also a wagon train load of food supplies hijacked in southern CO at the same time, meant for the Mace's Hole bunch probably for the trip back to Texas. Why they (Madison) were sent is unknown. No records, not even in the papers of the man who would have sent them, Andew Malverne Jackson.
Lot's of mysterious stuff happening along the Front Range, but little or no documentation. Losers in civil wars are very careful about the records of clandestine operations that could get them hanged long after war's end.
My impression is that Mckee was already back in Texas by this point. I'll try to check and see if I have any paper on that.
Earl Pittman