AT FIRST BLUSH, Cheyenne, Wyoming, doesn't seem like the place that either the Chinese or Soviet governments would pick for a trading post with America.

But thanks to an imaginative stamp collector-turned businessman, that's what's happened in that old frontier town. Not only has native son James A. Helzer persuaded those two communist governments to let him operate a captalist business for them in Cheyenne, he's done the same with eight other nations.

Helzer's product: newly issued stamps.

"These countries have recognized what the U.S. Postal Service has known for years: that any stamp that doesn't carry mail is pure gravy," says James A. Willms, executive vice president of Helzer's Unicover Corp.

Unicover today employs a staff of 200, runs Wyoming's largest commercial printing plant and sells the new stamps of 10 nations directly to North American collectors.

That may seem hardly revolutionary; stamp dealers have been doing it since the British printed the first stamp in 1840. But this manufacturer sells the stamps at face value -- something few dealers could afford to do.

Unicover's business began in 1981 when China agreed to let the firm become its North American agent, selling its stamps for a commission that Unicover officials won't disclose. Since then, Unicover has added the stamps of Yugoslavia, Israel, Brazil, Sweden, France, Hungary, Australia and New Zealand.

"What we are trying to do is represent countries that are politically significant," says Willms. "You don't see that we have any of what you might call the 'South Pacific Rock Piles,' " he says, taking an obvious swipe at small countries that issue stamps primarily to sell to American collectors.

But even selling stamps of the established philatelic superpowers can take a bit of Madison Avenue hustle. Unicover supplies that with professional, four-color direct mail flyers and freebies for prospective subscribers.

For example:

The USSR is offering a free souvenir sheet commemorating the 1976 Innsbruck Olympic games to collectors who request information on their stamps. Individuals who sign up for the service are given a "presentation card" featuring the four U.S. and Soviet stamps issued for the joint Apollo-Soyuz space flight.

The French, in flyers written in French and English, offer a Statue of Liberty commemorative medal to subscribers to their new issues, "la cre`me de la cre`me des timbres du monde entier."

New Zealand, stressing what a senior postal official there reminds U.S. collectors is "their heritage to the same mother country," offers a set of six stamps featuring antique streetcars.

To subscribe, collectors place a $10 deposit with Unicover and then pay a service fee of about $1.25 with each new-issue mailing they receive, a number that varies according to how many stamps the requested country issues.

Willms will describe the business only as "very successful" and says the firm tracks the sales of each country carefully. He won't say which country does best.

Helzer based his concept for the service on the old Fleetwood first-day cover company, which he purchased in 1969 while still in college. Fleetwood had experience dealing with postal administrations around the world.

But, just as important, Helzer knew the frustrations of attempting to buy new stamps from foreign countries in a city with few stamp dealers.

"He had a vision of a new approach by the direct marketing of stamps," says Willms. The company's initial venture got an icy reception from many stamp dealers, who saw Unicover as an unequal competitor in the new-issue trade.

Today that attitude largely has evaporated and many U.S. dealers go directly to Unicover for stamps, says Willms. The reason often is simple: Most postal administrations are not set up to deal with foreign collectors.

The U.S. Postal Service does much the same, offering its stamps to foreign collectors through a network of seven international firms.

Bill McAllister is a member of The Post's national staff.