Are you aware of the diary of the erstwhile governor of Missouri, Trusten Polk? Polk was a member of the U.S. Senate at the start of the war but was expelled due to his strong Southern sympathies. Afterwards he served as a judge in the military court of the Trans-Mississippi Dept and was a participant in Price's Missouri Raid. His diary gives a good account of the exodus to Mexico. I believe it is located in the Missouri Historical Sociey.