They're a package deal.
Last election year on record any one of them voted differently was in 1944, when losing Republican challenger Thomas Dewey won Wyoming in a pickup. It flipped back to the 1948 Democratic column for winner Harry Truman, and the trio have colored the same in all presidential elections ever since.
That's 17 cycles. Their margins have been comparable. For a Democrat to win Idaho/Utah/Wyoming would be a national impact on the scale of a 500-vote landslide in the Electoral College. Or we would see the two parties realign their brands to what they were when the Democrats had the south and the Republicans had the north/northeast.