My friend had a Utah juniper - which some people consider to be the same thing as a Rocky Mountain - in the sunset district in San Francisco. It would grow a little and then die back and then try again. I think that the lack of heat there and the salt in the air made it not a good spot. That said - I live in Thousand Oaks and I think we're in zone 10 and the Utah's grow really well.
Zones aren't everything - they're only one indication of climate. If you get good hot weather (maybe not scorching heat though) in the summer then I'm guessing you'll be fine with a RMJ.
I have two here in the seattle area. they were dug from Utah. Our cool damp weather and lack of sun a majority of time doesn't seem to help or hinder. they're not as aggressive here as some other varieties but feel that they should do alright in your part of texas.