I'm a card-carrying member of the Liberal Party of Canada and the Progressive Conservative Association of Alberta. Because I was born in Seattle and lived there for the first 6 years of my life, I can register to vote in Washington State, and at some point I will get around to filling out and sending in the necessary paperwork. Washington has non-partisan voter registration, although I would certainly be a registered Democrat if it registered them on a partisan basis instead.
I'm guessing your rationale for being a Tory is that the Liberals in Alberta are very weak and/or because of their non-affiliation with the federal party?
It's due to a combination of factors, including personal support for my local MLA, support (in general, not for everything) of the PC government's agenda, and yes, the fact that the ALP is presently non-competitive in most of Calgary. The fact that Raj Sherman is the ALP leader doesn't help. On the flip side (aka the federal side), I have no support for my local MP (Harper), and I would stongly prefer a LPC government over the current CPC one.
Mind you, my case isn't unique. I know at least a few other PCers who are Federal Liberals.