Romney would present real problems in Nevada because of the Mormon thing. I would not underestimate that - it's probably worth a couple of percentage points.
The Mormon thing hasn't hurt Harry Reid in Nevada. Nevada has a decent sized Mormon population. Whatever Nevada anti-Mormon vote there is should be offset by the Mormon vote.
He probably meant that Romney would present problems to Democrats in Nevada because he's Mormon, not that he would have problems because of anti-Mormon bias.
Anyway, Nate Silver made an interesting point about this being arguably more relevant of the two specials held - New York 9th has been trending Republican for a decade, so Turner being elected is just an acceleration of previous trends. Nevada 2nd on the other hand, has been trending
Democratic over the last few elections.