It can be done in Montana or Wyoming, but if you are really looking for some "pretty nice trophies", it is going to be hard to pull it off.
In Montana you are going to have to draw the antelope and mule deer tag and the odds can be anywhere from 50% or less without a preference point.
In Wyoming you can pretty much guarantee an antelope tag and if you want to pay extra for the special tag you can pretty much guarantee a mule deer tag, but not in a trophy type area.
I did a combo hunt in Montana in 2007 and was happy with my animals that I got, but I was lucky to draw both tags the same year and I grew up there and knew the area fairly well and knew where to apply and where to hunt.
Here's the antelope I shot. If I recall correctly it scored right at 72".
Here's the mule deer I shot. It scored right at 145".
Most people would probably not consider either of those trophy animals, but I was happy with them considering it was a combo hunt and not the ideal time to be hunting either animal. Antelope season was almost over and it was still too warm for the big mule deer bucks to be getting out and about.
If you really are wanting to shoot a pretty nice trophy you should probably focus on one species or another and may end up needing to build up a few preference points to draw a better area in Wyoming.
That's my 2 cents. Nathan