For nuts and bolts electoral college wonks, there's a long-simmering theory that's slowly been gaining a bit more credibility. The idea is that conservative independent candidate, Republican Evan McMullin, could take Utah. This, ever-so-slightly, opens the door to the possibility that no candidate would achieve the required 270 electoral votes to win, and the whole thing would be decided by the incoming House of Representatives. There, each state gets one vote - regardless of population - and the 12th Amendment commands them to choose between the top three candidates.
If the House GOP stuck together, they could dump Trump and pick McMullin. Thus, it's conceivable that he could win with only one state under his belt. It's unlikely to the point of absurdity but it's not impossible, so it's the kind of thing that gets political nerds all whipped up.