(This conversation has gotten dumb, but here goes).
I've heard Nevada referred to as West Coast, not the other two (but I also haven't had very many conversations involving Montana or Idaho

). Like I said, the term isn't used literally at all, at least in AZ. For whatever reason the term West Coast is used when Southwest would make more sense for Nevada or Arizona. A lot of it probably has to do with people associating SW with desert, NW with snow and mountains, so a state like Arizona or Utah that has a lot of desert but also a lot of mountains and skiing isn't universally labeled as NW or SW so people lazily call it West Coast.