The Setting: Murphy himself revealed that he has considered Santa Fe as a possible filming location, so it's extremely likely we could wind up there at some point. A lot has happened in the Southwest, most notably Area 51 in Roswell, NM, which many believe to be a government cover-up for an alien crash site.
The Premise: The season could either explore the inner-workings of the government officials working to keep everything top secret, or a group of infiltrators determined to expose everything. On the inside, we could see what really goes on or goes wrong. On the outside, we can see what happens when you find the cracks in the outer shell and rip them wide open. Sure, Ryan Murphy touched on aliens in Asylum, but this would be his chance to really blow it out of the water.