ETA: The real news is that Utah may go third party, being the first state to do so in almost 50 years. Now that is impressive.
Whatever else you might say about Mormons, they really do walk the walk far more than more mainstream evangelical Christians do.
Another state that McMullin could win (although it's pretty darned unlikely) is Minnesota. He's been endorsed by the same party that got Jesse Ventura elected Governor, and, at least according to one Minnesota Republican I'm acquainted with, the state could well have flipped this election except that they hate Trump. (He finished a pretty distant third in the Republican caucuses--36% for Rubio, 29% for Cruz, and 21.5% for Trump.)
Still, taking Utah's 6 out of Trump's column is far more likely to deny Trump the Presidency than taking Minnesota's 10 out of Clinton's (since it's almost outside the realm of possibility that McMullin could win Minnesota and not Utah) could deny it to her... but there is a chance, however small, that his winning both could deny both of them a majority, throwing the election to the House, which could see House Republicans refuse to vote for Clinton or Trump and settle on McMullin as a compromise (since he'd be in the top three per the provisions of the Twelfth Amendment).