Remaining a registered Democrat in West Virginia is probably just for nostalgic, ancestral reasons (my daddy and granddaddy were Democrats and would kick me in my behind if I didn't vote Democrat). I think it's just symbolic: West Virginia Democrats are trying to send a message to the party that "we didn't leave you, you left us." I'd imagine the same can be said for Oklahoma.
It's because they have closed primaries* and this is who still controls local contests. As you can see by comparing this to the registration figures in the GIF I posted above, there are only two counties (Wirt and Roane) where the majority party by registration wasn't also the majority winner of county contests (and those are two of the closest counties in terms of D/R registration).
*I guess you can call it "mixed", but the point is that you can't register as a Republican and decide whether Bubba Johnson (D) or Bobby McGee (D) wins dog-catcher in the de-facto general election that is the Democratic primary
