This wasn't a denial of his direct appeal/cert to the US Supreme Court. This was a denial of his emergency appeal to the USSC for his request for an extraordinary stay--the stay he could've had--and was asked if he wanted a stay TWICE by Judge Thompson. It wasn't until Friday, a day before his rally did he, very quietly, ask for this stay. He was denied by the district court and by the appeals court twice because he waited too long to ask for a stay.
Pending a final resolution, perhaps Alabama could put up an interim monument of Myron Thompson worshipping himself in a mirror.