Pepper has been shot in the buttock. This would be extremely painful for a while; yet at the end of the film, he hops into the truck and even bounces on the seat after telling Sam that his wound is a "tender subject."
When Sonny and Pepper are in the truck, just as they get to the warehouse, and Pepper is explaining to Sonny about why he did not show up for the big rodeo, you can see Pepper is taking rounds out of a bullet belt and putting them in his pocket. When the camera is facing Pepper he stops doing this about halfway through and puts his hands down in his lap by his knees. However, when it's facing Sonny, he continues to pocket the bullets for the whole speech. One moment he's got his hand in his pocket, when the camera faces Sonny, then in a split second, his hands are in his lap as the camera faces him.
Whilst chasing the train inside the bridge Sonny jumps off his horse and onto the back of the train. In the next shot his horse has disappeared and the only horse visible is being ridden by Pepper. After Pepper also hops onto the train his horse is shown galloping riderless but Sonny's horse is never seen again.
When Sonny and Pepper are riding horses to catch the subway train that's on its way to Brooklyn, they are heading north along a river. You can see the Statue of Liberty off in the distance, which makes the river the Hudson and means they are riding away from Brooklyn.