411a,
Would you take a look at these plates?
HDN ILS/DME RWY 10 Not authorised if local altimeter setting unavailable
HDN VOR A Not authorised if local altimeter setting unavailable
BUT
HDN GPS C Nothing to "un"authorise the approach if local altimeter setting unavailable.
So GPS alone is being used to work out your altitude? Would you shoot the GPS approach if local altimeter was unavailable, and it was crappy weather all the way down, but you wanted to see whether you could get in? My reading of the plate says you can, but experienced airline pilots I speak to cannot agree.