Fox News host Sean Hannity is threatening to leave New York after controversial comments by Gov. Andrew Cuomo that have spread across the conservative media landscape. During a radio interview last week, Mr. Cuomo said “extreme conservatives, who are right-to-life, pro-assault weapon, anti-gay … have no place in the state of New York.” Reacting to the ensuing controversy, Mr. Cuomo’s staff have insisted the comments were taken out of context and that he was talking specifically about statewide elections in Democratic-leaning New York. They also published a full transcript of the remarks. But that hasn’t stopped talking heads like Mr....