Cover Montana? Not all of that state (7)
I believe the answer is:
vermont
'that state' is the definition.
(Vermont is an example)
'cover montana? not all' is the wordplay.
'not all' says the answer is hidden in the clue.
'VERMONT' is hidden in the letters of 'cover montana'.
'of' is the link.
(Other definitions for vermont that I've seen before include "New England state, capital Montpelier" , "The Green Mountain state" , "US state, named for the Green Mountains" .)