The Apache Death Cave is at Two Guns, Arizona.

From wikipedia:
The battles between the Navajos and the Apaches were constant. The group of Apache warriors hid in a cave located in Two Guns. In 1878, they attacked a Navajo camp and murdered everyone with the exception of three Navajo girls who were taken as prisoners. The Apaches not only murdered the Navajos, whom they raided, they also looted the area. The Navajos from another camp sent warriors after the Apaches, however they failed in their quest to find them. When the Apaches attacked another Navajo camp, the Navajo warriors went to Canyon Diablo and saw hot air coming out of the ground.

After taking a closer look, the Navajos discovered that there was a cave and that the raiding Apaches were hiding in it with their horses. The Navajos began to throw burning drywood into the cave. The Apaches then slit the throats of their horses in an attempt to put out the fire after they ran out of water. When the Navajos found out from an Apache who came out of the cave, that the three Navajo girls were murdered, they threw him into the fire and murdered 42 Apaches in the cave. The cave became known as the “Apache Death Cave”.