Nice game!!!
I have some comments...
If you die without setting a checkpoint, your checkpoint is set inside the starting building. If you load that checkpoint, your horse is also now inside the building. Is there a way to get him out?
If you are in a heated battle and die, you may unexpectedly click the item that ends the game. There should be either a confirmation, or a delay before it accepts entry to pick one of those options. If I am clicking to shoot my gun and that click instead selects the item that ends the game due to dying suddenly, it means I lose all my progress.
You lose a lot of gold/money when you die and there does not seem to be a good way to "farm" gold/money easily. Maybe make an option where you can pick up your gold where you died or make the penalty less severe? Perhaps there is a way to get gold/money that is easier that I don't know about, or maybe you want to make the game even harder for people who are already having a hard time? :-)
When I get near/in a town all the guards constantly aim at me, makes me feel so special, but doesn't seem all that realistic. Also, if I am being chased by drones or other baddies I think the guards should help me out by shooting them instead of just acting like they aren't there.
Thanks again for the game and reading my comments!