They can still appeal directly to the US Supreme Court since it is a state Supreme Court decision and bypass lower Federal courts. If there is a Federal or US Constitutional issue involved then the USSC can take it up. It takes 4 USSC Justices to agree to hear the case for them to hear it.
I predict the USSC will agree to hear appeal of this decision, due to its first amendment ramifications against protections for free speech, freedom of association and freedom of religion. Hopefully Gorsuch will be on the Court when case is argued!
provided someone agrees to fund such appeal.