Saskatchewan is the less urbanized province (40% of its population is in Regina and Saskatoon, compared to 60% of Alberta's population is in Calgary and Edmonton). But Calgary remains the most conservative city in the Prairies. Interestingly Edmonton is more NDP than Regina and Saskatoon provincially, but less so federally. Also the rural areas in AB are a bit more conservative than SK.
Calgary was built around oil and natural gas and before that, mining.
A party identified as a distinctly pro-fossil fuels party is always going to do well in Calgary.