The answer to the original [great] question about whether it is legal to sell soap containing wildlife tallow in the US is: it depends on the state you harvested and soaped the wildlife in (and they
must be the same state). Ruthie, I recommend you speak with a law enforcement agent with the Oklahoma Dept. of Wildlife Conservation to get the correct answer for your state.
For the most part, state game agencies regulate the harvest and use of wildlife in the US. There are federal wildlife laws too, but generally, wild deer, elk, bison, moose, bear, and other game animals are regulated by the individual states. Exceptions include but are not limited to endangered species (such as the Key Deer in Florida), and marine mammals (such as the polar bear in Alaska, which is also endangered btw). Also, to be clear, I am not talking about farmed deer, elk, bison, etc., which as Anita pointed out, are not subject to the same commerce laws.
Anita did the right thing by checking with the Colorado Division of Wildlife to find out the laws in her state. I did a quick internet search and right away found one state that currently allows tallow soap to be sold.
Oregon Dept. Fish & Wildlife (ODFW) Administrative Rule 635-200-0110 states:
Any person may sell, purchase, or exchange the fats, oils, and similar end products of the process of rendering wildlife carcasses or parts.
But please note, state wildlife laws change frequently, so anyone living/selling soap in Oregon, please don't take my word -- check with Oregon Dept. Fish & Wildlife before you add wildlife tallow to your lineup! Many wildlife products (such as meat, for example) are illegal to sell, so it is definitely worth asking questions before moving ahead.
The reason you must harvest, soap and sell all in the same state is because there is a federal law (the Lacey Act) prohibiting the interstate transport of wildlife that have been illegally harvested or used in a given state. So if a state law says it is illegal to sell fat products from an animal harvested in that state, then it's also illegal to sell that soap into another state.
Bottom line: check with your state game agency (preferably someone in their law enforcement division as it is their job to know exactly what the regulations are). Wildlife laws are in my profession but not so specifically as this, especially given state by state variations. Plus I'm writing this super late, I can't be responsible for clear brain!