This is literally the answer. My brother's a data scientist at a large health insurance company and this is a subject we've discussed at length. In short, because of the large Mormon population in Utah, the state has shockingly good statistics on a very wide range of disease incidences, health-related quality of life outcome measures, etc. With respect to health and longevity, it pays not to drink, smoke, or do drugs (surprise, surprise).

Other interesting tidbit – his health insurance company (and I expect all others) took a substantial hit 2019-2020 from the initial phase of the pandemic. Come 2021-2022, large proportions of the unhealthiest segments of the population had passed away. They integrated this fact into their modeling and, given that these people would no longer require care (e.g. dialysis, ER visits), predicted that utilization would go down substantially and, now providing for an overall healthier population, the company would be more profitable that year. This turned out to be an accurate prediction.

except diabetes. No prohibition on sugar (and it replaces a lot of other vices, see "Dirty Soda" culture)

Hadn't heard of this. Yikes – dirty sodas sound pretty vile.

Note that Arizona, New Mexico, and Wyoming also have relatively large LDS populations.

I mean smoking is a factor, sure...but that doesn't explain why NM, who has a highish average smoking rate, is near the bottom. Same for how AL, who has a high smoking rate, is middle of the pack.