I believe the map is based on the last Federal election, not individual provincial elections.
The map of Canada is based on the last federal election.
Saskatchewan did elect a socialist government, but it was almost a compete rural-urban split, and only one or two seats splitting the urban-dominated socialist NDP and the conservative Saskatchewan Party, who received 65-70% of the popular vote in much of rural Saskatchewan. In the federal election, Saskatchewan voted overwhelmigly Conservative, the exception being one Liberal.
Alberta and British Columbia currently have conservative govenrments, although Alberta's Progressive Conservative Party are not acting very conservative these days. As for BC, their provincial government is the Liberal Party, which is a misnomer, as they are a conservative party.
Northern British Columbia has a large native population that voted either NDP or Liberal (I'm not sure) last federal election, that's why it is blue.
Yukon and the Territories only have a handful of seats, and they usually go Liberal as everyone up there is working for the government in one form or another.