I was going to guess it had something to do with the area of Scotland which Calgary (AB) was named after.
http://en.wikipedia.org/wiki/Calgary,_Mull
The pic on the vid, looks a lot more like Scotland than Texas, and the sound kinda lends itself to a foggy sort of dreamscape. Course the pic is from any fan and could be anything.
But if people know this band and say it's named after Calgary Texas, they are probably right. The band is from the states. It was just a guess after reading the OP's post.