You will need to find some other people that want the same thing (AMHA show) and get a show committee together to organize a show--think of some fundraiser ideas, collect sponsorships etc. If there isn't enough interest to get one going then you will have to travel to other states that do have AMHA shows.
One thing to remember--many of the AMHR horses you are competing against in the AMHR under division may very well have AMHA papers as well. If you had an AMHA show you could very well find out that you'd be out in the ring with many of the same horses that you're showing against now. AMHA does break down its classes differently according to size, but that depends on the show. When we had AMHA shows here the classes were exactly the same as those offered by AMHR for the under division:
Yearling 32" and under, 2 year old 33" and under, 3 years & older, 34" and under. There were not enough entries to justify breaking down each age group into the various size divisions.
Here we'd have AMHR on Saturday and then AMHA on Sunday--in the AMHA ring were mostly the same horses that had showed AMHR the day before. There'd be a few missing, as not every one of them did have AMHA papers, and there'd be a few new ones that didn't have AMHR papers and came only for the A show.
If your AMHR shows have lots of entries, perhaps you could ask to have the classes divided further, by size? So your senior classes could be 32" to 34" and under 32" or whatever the divisions are. That gives the smaller horses more chance in the regular class, but of course all sizes still compete together in the championships.