Why is Montana warmer than Wyoming?
As mentioned in the comments, the 1km difference in average elevation of Wyoming in comparison to Montana plays a major role, as from the website Wyoming State Climate Office,


  Because of its elevation, Wyoming has a relatively cool climate.


However, there is a bit more to it than that, the presence of numerous valleys


  provide ideal pockets for the collection of cold air drainage at night. Protecting mountain ranges prevent the wind from stirring the air, and the colder heavier air settles into the valleys often sending readings well below zero.