A lot will depend on the Rye you choose. I suggest a "Barely Legal" Rye (51% rye) like a Sazerac or Rittenhouse. Rittenhouse is sweeter. In this particular cocktail, that is what I'd use next time due to the dryness of this cocktail. A higher rye mashbill would be too dry, imo.
Read the reviews after I'd had the cocktail. I liked it well enough. Nice spiciness from the Mezcal, bitter, botanicals, and I'd almost would have went with grapefruit peel over orange. In the end...meh. It's OK. I'd be inclined to make a riff with the 1.5 oz to be Rye, and the .5 oz an Islay Scotch. Hmm.. Cocktails are just fun
Lovely sipper. Love the wee bit of bitter in the Cocchi & Montenegro. I'd be tempted to dry it out ever so slightly & split the Cocchi with Noilly Prat Dry. But, Lovely cocktail that I can also see really working with Ransom Old Tom for more complexity.