Kentucky has a Democratic Governor. It may not in 2016, but it does now, and that's a big deal. In Kentucky, the Governor stands at the top of the political power structure, which worked well for Bill Clinton even in 1996, when his anti-tobacco stance cost him some popularity in Kentucky.
Has Hillary flatly opposed the Keystone Pipeline? I don't think so, and there is a reasonable chance that she will support it. This would be a signal to Appalachia that the Democrats' environmental policies of the 2000s so far has been a Gore-Obama think, and not a party-wide thing. How she positions herself on this issue would be a signal as to how she'll come down on the issue of coal. Hillary knows how to take both sides of an issue to her advantage. Kentucky going for Hillary isn't the most ridiculous thing imaginable.
Clinton is not going to roll back the progress Obama has made on fossil fuels, and the people in coal country aren't stupid enough to believe her if she said she would.