Perhaps its just living in Edmonton and being relatively far form the border, but the identification with Montana always feel perplexing to me. Montana, Idaho, and interior Washington are all pretty distinct IMO from the Canadian side.
I suppose there is subset of Albertans that aspire to be something like Montana, so perhaps its some wishful thinking on their part.
Although southern Alberta also feels a bit foreign to me in many ways so maybe there are more similarities there...
Or its just a geographically simple identification that people like to make and I'm reading too much into it.
That being said, Colorado doesn't seem too crazy.