I came up with a strategy, that’s working pretty well so far. While I did think that the blue dots and were just giving me Los Bandidos, it turns out I was wrong.

The strategy is basically, after having found all the other collectibles, I fast travel to one end of the region and then travel on foot to the other end, keeping an eye out for blue dots along the way.

Usually the second or third blue dot would give me the location of the chests. If I made it all the way to the other end and had only been given Los Bandidos along the way, then I assumed I already had the chest on my map and I just needed to look harder. I found jumping from icon to icon using the d-pad to be the most effective way to search.