apologies, didn't mean for it to come across like that, but no, it isn't possible because I'm a college kid who is only able to bring my car out because my grandparents have a house there where I can store my car. I can't drive two cars out there because I'm only one person, and I've just spent 100 hours and countless dollars of my already meager savings on this car converting it from 2wd to 4wd, I cant pay for license plates and registration and insurance and gas and maintenance for two cars as well as a parking permit.
Plates, registration, insurance...they're all tiny and would be paid for by the gas savings you'd accumulate driving an efficient vehicle. You could buy said vehicle in CO. Your XJ would be in CO with you, and you'd have the gas-sipper to drive home when you need to.
You're worried about plates, registration, and insurance on a compact, but you're willing to drive an XJ that gets 22 or less MPG 2000 miles on multiple occasions???? I mean, if you don't want to or can't do a commuter car, that's totally fine. I have no intentions of continuing to push it on you given that you understand what I'm suggesting but can't or won't go that route regardless, but you shoot-down the single best way for your to SAVE money by saying you can't afford it, so I'm not sure you're grasping the idea very well.
If you want to make the drive, still go wheeling, and handle the conditions of 4 seasons of CO, IL, and everywhere in between all with one tire on one vehicle, you WILL have to compromise something. I'd personally direct you to an AT such as Firestone, Hercules, Cooper, General.... there are lots of AT tire discussions around. My personal pick of the AT litter for you would probably be Firestone. All of them are weak in the winter compared to a true winter tire (I'm not even about to try suggesting that to you), but decent for non-winter specific tires. The Firestones are quiet, long-lasting, mild enough not to suck too much gas, and have great traction but will suffer in mud. Really, all AT's suffer in the mud overall anyway. Hercules would be better in the winter and a little better in nastier offroad conditions and maybe as fuel efficient. General would be better in really rugged terrain and OK in winter but perhaps less fuel efficient. Cooper is a solid all-arounder which can even do OK in a little mud while maybe being as fuel efficient as Firestone.
If you want a solid tire that is serviceable in many ways for dirt cheap, try Goodyear Wrangler Radial. SUPER cheap price with very decent performance. It's not the best at anything, not terribly fuel efficient, and demands caution in heavy rain, but the price is quite nice. I have them on my work truck. Kumho AT KL78 is another AT tire for a great price (and does alright in winter), but it's not going to be the most efficient or quiet--it's meant to see the dirt a little more often than the occasional weekend. If you want to go nuts and go for something that can tackle offroad and winter well at the cost of road manners (road manners are still fine, though), Duratracs could be your friend.