I know that in PA in 32 it was because the a Democrats had basically zero presence. The rent for the PA Democratic Party's headquarters was actually being paid by the state's Republican boss. So they had no machinery with which to fight that election in a state where they should've won bigtime. But the campaign itself forced the state Dems to get their sh*t together and build themselves up, and afterwards, it was solidly in the Dem column. Until 52, that is.
Ditto for the other states, but in NH I'd be willing to bet a similar story.
I would love to know more of that story