I think the state could support hockey, but who knows. There's CERTAINLY a lot of support for Badger hockey in that state. I'd like to imagine it'd translate to the pro game as well.
It would be very difficult to support an NHL team in addition to the Brewers, Bucks and to a lesser extent Packers.
1. The only arenas that would work for an NHL team would be the Bradley Center in Milwaukee which would have to be shared with the Bucks and Marquette Men's basketball or the Kohl Center in Madison which would have to be shared with Wisconsin Men's and Women's basketball and Men's hockey. And Madison is pretty small and more of a college town. Doesn't mean people would just ignore the team but generally they're going to support the Badgers first and everything else second.
2. The size of Milwaukee. The metro area has about 1.75 million people although there are some good sized cities around an hour away that aren't part of the metro area. Kenosha is a little less than an hour away and has almost 100,000 people. Fond du Lac and Sheboygan are also about an hour away and combine for a population of 100,000. And of course not the main population base but you would also likely draw from Madison and the Fox Cities area though that wouldn't be guaranteed especially in winter and on weeknights.
I think the NHL could do well
if the Bucks leave. The Senator who owns the Bucks decided not to run for another term and there has been increased talk of trying to build a new arena for the Bucks lately that has gone nowhere, especially when they float the idea of using public money. Just a few days ago the head of the Metropolitan Milwaukee Association of Commerce suggested extending the Miller Park sales tax (0.1% collected in Milwaukee, Waukesha, Racine, Washington and Ozaukee counties) which was shot down by both the governor and Milwaukee County executive, so there's not much support for that.
I also have no idea how the NHL or Bettman would feel about playing at the Bradley Center. There's no way that public money is going to be used on a new arena right now and no potential owner is going to spend $150-200 million to bring a team here and then spend $300-400 million more to build a new arena.
Bradley Center was built in 1988 and holds 17,845, 45 luxury suites (used to be 68 but they tore some out to create a couple of clubs and theater boxes. Around 11,000 seats in the upper deck.
I have no idea how the Bradley Center compares to other NHL arenas, but that's what I know about it. Maybe those more familiar with other NHL arenas can compare.