There are some. This article discusses some of the native mythology, and the white mythology about the native mythology. Evidently there was a long held perception that the natives lived in fear of the various geothermal features. This is, according to Whittlesey, complete bunk. When considering this question one should keep in mind that the Yellowstone Park area was used for at least 11,000 years by numerous tribes, including Crow, Shoshone, Bannock, Blackfeet, Flathead and many others. So, the possibility that there were widely divergent beliefs is highly likely. Check out the linked article and the Park's web page.