I haven't heard of anything closeby to me (arse end of Indiana here). I think Unity and Godot have pretty good learning materials available to learn as you go, from what I've been told - which is encouraging, however that's where my initial question came into play about a piece of paper vs skill :D

This is my favorite game developer Discord if you'd like to join: http://tucsongamedev.com/ It's technically based in Tucson but no one will mind that you're not from there. There are a lot of experienced game devs there who enjoy answering questions and helping people learn :D

From my experience a strong portfolio is what matters most, and the piece of paper can help give you great things to put in that portfolio, but it's not mandatory for making great things. I would probably start with trying to make some things on your own first, and think about formal classes after.