A “Venial” sin is a very small sin....and I think that’s the context he’s using.
I don’t agree that it’s all about Hillary losing. It’s also about them trying to stop Trump’s agenda.
“Veniality” usually connotes the quality of being pardonable, not mortal. In context, though, I think he was asking “where’s the corruption?”, since the interviewer kept on hinting that there is a lot of it, somewhere, somehow.