Yes indeed, but the "Hole in the Wall" referred to their hideout, which was, if memory serves, deep in Utah's canyon country and only accessible via a maze of narrow passageways.
There was also the "Hole in the Head Gang," but the initiation criteria were pretty strict and tended to discourage membership.
There's also a "Hole in the Wall Trail" in Utah's Escalante Canyon (and National Monument) where Mormon settlers blasted a hole in a cliff in order to be able to lower their wagons down to the river with ropes. Back in the day, when anyone challenged Brigham Young's authority/got too restless/decried the lack of available wives, he would dramatically unroll the map, point to a blank spot on it, and tell the rebellious ones that they should go there and start a new settlement. It worked, because once they got there, they had their own little independent fief instead of being under Brother Brigham's thumb back in Salt Lake. Trouble was, in this case, the path to the heretofore completely unexplored new lands was blocked by a sheer 1,500-foot cliff.
It's amazing how many problems you can solve with dynamite.