Canyon O'Grady is an agent for the U.S. President.
Taking place in the pre-Civil War days of America, largely in the western territories and newly formed states though occasionally heading east and more than once south of the border, O'Grady is dispatched wherever the Chief Executive feels he is needed. O'Grady claims on more than one occasion that he answers to no one other than the top man.
As written in the blurb of the first recorded adventure, he "is a special agent of the U.S. government, appointed by the President himself. But the only badge he wears is the Colt at his side and the Henry in his saddle holster as he rides the roughest trails in the West."
O'Grady is not the only operative answering solely to the President. There were, according to the 15th man to hold that office, James Buchanan, there were a "half-dozen men who carry the title of U.S. government agent". O'Grady, obviously, was one of them and he had been one for some time before he actually met Buchanan. As O'Grady points out in one recollection, Buchanan had called O'Grady to the White House to meet him specifically because he had been told that O'Grady "was one of the best". O'Grady's recorded adventures will continue into the term of Abraham Lincoln and the Civil War.
O'Grady goes to some length at times to let people know that he is not a U.S. Marshall. People in those roles are tasked with enforcing the law while a Presidential special agent has the responsibility for getting the 'job', whatever that may be, done to the President's satisfaction. Further, most marshals have a designated area to patrol. O'Grady goes wherever he is told to or needs to in order to accomplish his mission.
To the best I can discern, O'Grady's first name is not nickname but his actual given one. As he admits when a young lady comments on it being an unusual name, "It is that, and I'm an unusual fellow". He is a very educated man, of Irish descent being "conceived in Ireland and born in America".
O'Grady has no one place to call home and no one person to go home to. He travels as work requires and takes the comfort of many a lovely lady in all parts of the continent.