Prior to the 2011–12 season the WSHL would join the United Hockey Union (UHU) and become sanctioned by the Amateur Athletic Union (AAU) instead of USA Hockey leading to some teams leaving the league and the addition of others. The 2011–12 season was another regular season first-place finish in the Midwest Conference and a Midwest Conference Playoff Championship. The Rhinos defeated the New Mexico Renegades 2 games to 1 in the division semifinals and defeated the Dallas Ice Jets 2 games to 1. With three conferences in the WSHL for this season, the playoff winners and runners-up moved on the Thorne Cup Championship for a 2-game round robin style series held in the Rhinos' home arena in El Paso. The Rhinos lost to the Idaho Jr. Steelheads before defeating the Fresno Monsters to for an 1-1-0 record. The Dallas Ice Jets and Idaho Jr. Steelheads would both finish the round robin with two wins leaving the Rhinos out of the championship game.