This is not an invariant property of the United States electoral system. Minnesota
http://en.wikipedia.org/wiki/Jesse_Ventura
and Maine
http://en.wikipedia.org/wiki/Angus_King
have both elected governors not endorsed by either of the two largest political parties in recent years, and there are members of the United States Senate
http://en.wikipedia.org/wiki/List_of_current_United_States_S...
who were elected in statewide elections without major party endorsement.
Also, elections for governor do not have to account for the Electoral College which IMO is an anarchic holdover from a time when communication was much harder.
Minnesota is an outlier in my mind - it's more attributable to the fact that the Republican candidate (Norm Coleman) was a terrible candidate (he only won his Senate seat because his opponent died right before the election[2]), and the race was irregular in other ways too. It happened once, but I wouldn't bet on it happening again there anytime soon, unless things change.
[1] http://fivethirtyeight.blogs.nytimes.com/2012/10/15/in-maine...
[2] To Coleman's credit, John Ashcroft ran against a dead man and lost, so I guess Coleman had something going for him.
See https://www.youtube.com/watch?v=s7tWHJfhiyo