Dav, there are sheep both places, river gorge and around powell. However finding a sheep on the escalante desert is no easy task. I have spent days in the heart of the best sheep country there and not seen a sheep. Hunting the escalante is not as easy as just doing a day hike to find them. You best have quality backpacking gear and be prepared for several days scouting. Water is hard to come by and you will need to know where and how to find it or you can end up dead pretty easy. Water purification system is a must. You should also go with someone who knows the area and has been in before or do a ton of homework. The escalante will kick you where it hurts and leave you dying. Many more than one has not made it out of there alive. That being said, Most of the sheep are on the tops north of the river and not easy to get to from escalante. Its not possible to just run out for a day and see some sheep. Even the easiest spots to access are a day in and a day out. You must know the routes or you will end up turned around, back tracking, ledged up, lost or atleast unable to get to where you need to be, dehydrated and again dead.
I have seen a ram off the hole in the rock road that thought he was a beef cow. So I guess anything is possible.
You could head south out of escalante on the smoky mt road. Get to the burning hills in the K east unit. Or Tibets on the K west, There are sheep there that are a bit easier to get at. Take some gas. Good luck.