Idaho is not the most obvious place to attract members of the Russian punk collective Pussy Riot.

But even in the Republican stronghold that strongly supports US President Donald Trump, Pussy Riot members carved out time late on Saturday to swing by the largest city in the state, Boise, during their first North American tour.

"There is power in doing what we want, and not what they want," said Nadezhda Tolokonnikova, who spent nearly two years in prison with another group member for a protest against Russian President Vladimir Putin in 2012.

"Thank you for supporting us."

The balaclava-clad women who rose to global prominence with daring outdoor performances in their home country brought a show to Idaho that was more political rally than traditional concert, featuring anti-fascist, anti-Trump messages. It comes as a special counsel investigates Russian interference in the 2016 presidential election and whether there was any collusion with the Trump campaign.

Idaho is the only Republican-dominant state that Pussy Riot is visiting during their North American tour, which has consisted of stops in bigger, left-leaning cities like Portland, Oregon; Seattle; and Chicago.