Correct me if I'm wrong, but isn't there a small cave system near Glenwood?

Oh, there are also hot springs 'vapor' caves. You can learn more here: http://www.yampahspa.com/caves

You are definitely correct. Glenwood Springs does have a cave system, although it has mostly been turned into an amusement park which has tours, rides, and attractions. It's called Glenwood Caverns Adventure Park. You can see more at http://glenwoodcaverns.com/ I myself haven't been so I can't tell you personally how it is, but it seems to get really good reviews.