I went to an SIUE/Murray State game in Edwardsville back in 2012. I remember remarking how much yellow there was in the stands. There are probably a decent number of Murray grads in St. Louis, but there were also a lot of Kentucky license plates in the parking lot. They were loud and into the game.
It's not as if fans traveling on the road in the Valley is a thing anyways. You'll see a decent contingent of Bradley fans at Loyola, but a lot of that is Chicago residents who graduated from Bradley.
The biggest shot in the arm would be Arch Madness. I would think Murray State would be one of the better traveling fan bases to that tournament. It would be great if someday they draw enough fans to remove the black out curtains from the upper deck now that Creighton and Wichita fan bases have left.