Fredo: Frank Pentagelli, I though you was never coming [out west], you big bum!.
The out here is not part of the phrasal verb "come out", but rather of out west. The word out stresses that west is the side of the country that this person is not much familiar with, because he/she lives in the eastern part of the country.
According to the Cambridge Dictionary, "out west" is a collocation of words typical to the US:
out west (US) - to or in the west of the US: Travis moved out west after college.
This idiom also stems from the fact that
Most of the settlement of the United States was done by people moving from east to west. For example, the original 13 states in the United States were along the Atlantic coast. (from an answer regarding "back east" by Jasper)
The underlying source is the idea is that everyone [in the Western states of the US] is somehow "from" the east, and they (or their ancestors) at one point moved "out west", but if they were to return, it would be to go "back east." (from an answer by Nohat)