Huh, interesting, I thought it would be more common, at least among the Governors-turned-Presidents.
At least in South Carolina, and I imagine in other states as well, it's been far more common for State Senators or for holders of other statewide offices to become Governor than Mayors. Mayors typically don't establish political connections outside their own city.
Another example is New York State, of its 56 governors only five have been mayor, two from New York City, and one each from Schenectady, Buffalo, and Peekskill.