So what makes Saskatchewan in particular so socially conservative?
Nothing in particular. All of rural western Canada is very socially conservative. Southern Manitoba has Mennonites making it the most socially conservative part of the country.
Also, unlike Alberta and Manitoba, Saskatchewan lacks large cities.
But, Saskatoon and Regina behave like large cities in their political views, and are arguably more left wing than at least Calgary, if not Edmonton as well.
Yes, but Saskatoon and Regina's share of Saskatchwan's population is much lower than Calgary and Edmonton's share of Alberta's population. In 2011, Saskatoon and Regina made up roughly 40% of Saskatchewan's population, while Calgary and Edmonton made up 52% of Alberta's population.