Many different plastics will sublimate without a coating as, by their very nature, they already contain polymers. I've successfully sublimated images onto PE (polyethylene), Mylar and cast acrylic before. My advice is to try it and see for yourself. Are plastic milk bottles HDPE? Cut a test piece from a milk bottle and try pressing it.
WARNING! When experimenting like this, take note that some plastics give off toxic fumes when heated, and some plastics will MELT in your press, so make sure you run your first tests between two sheets of Teflon to avoid damaging your press with molten plastic.