New Orleans is a city unto itself. The rest of Louisiana is quite different, really. Any city that allows you to buy a daiquiri in a foam cup at a drive through window isnt all that conservative in my book. See also: the Quarter.
What does the state govt. have to do with the city? Jindal is the state's Gov. not the mayor of New Orleans.
Texas has quite a conservative state govt. and yet the city of Austin, which is also the capital, is considered by most to be quite liberal.