Ah yes, a very profound line in the short story..... to me, just like "I swear", it is open to many interpretations, and I think Proulx intended it that way...The whole sadness of the line is not the what he knew or what he believed, but the words "some open space", conjuring up images of the huge and cold, lonely plain, one that Ennis will have to spend the rest of his life on, alone. This brings up a literary technique (i forget what it's called), where the lines may not necessarily make sense, but rather it's the feeling the words themselves give that is significant. I read that line and I think of hopelessness, regret, loneliness, longing for something that was within his grasp, but is now lost forever. Wow.
In other words...."it could have been".