Well it's possible but you have to make the whole skeleton work.
If I gathered it correctly, you take a RTW model, cut out the skeleton, save it as some file format that Milkshape can read, then in Milkshape open a M2TW model, delete everything but the skeleton, import your RTW model and adjust the bone weights and so on. That should be it, except for the skin which has to be remapped and then converted to a .texture file

Alletun did something similar the other way around with some steps detailed:

https://forums.totalwar.org/vb/showthread.php?t=90378