Vegas leads the best-of-7 series 3-1 with Game 5 at Winnipeg on Sunday.
"I'm happy we get to play [again] quick," Golden Knights forward Erik Haula said. "It's an early game in Winnipeg (2 p.m. local time); just get your rest and get ready.
"Obviously, it's not a lie, sometimes your mind wanders to places. But we're just trying to keep it cool. I think we do a good job in here. But we have a great opportunity right now and we just have to take advantage of it."
The New Jersey Devils are the only team to win a conference final after trailing 3-1, defeating the Philadelphia Flyers in 2000.
"This is a heartbreaker for us, but we have to move on," said Hellebuyck, who made 26 saves. "We now have everything on the line. ...
"The stars are aligning for them," he added, "but it's not going to stay that way."
Jets defenseman Tyler Myers tied it 2-2 at 5:34 of the third period with a close-range slap shot that beat Golden Knights goalie Marc-Andre Fleury through the five-hole.
"I liked a lot of that game," Winnipeg captain Blake Wheeler said. "We win that game nine times out of 10. Tonight was the one. Had some looks where their goalie made some extraordinary saves. You've got to sometimes take your hat off to a good player stealing a game."
Fleury made 35 saves and has allowed five goals during three straight wins.
"The last [win] is always the toughest to get," Fleury said. "I think we've got to keep the same mindset taking it one game at a time and be ready to play that next game because they're going to be coming hard."
William Karlsson gave the Golden Knights a 1-0 lead at 2:25 of the first period, scoring off a cross-ice pass from Jonathan Marchessault on a power play.
Marchessault has 18 points (eight goals, 10 assists), tying the record for most points by a player in his team's first postseason (Jude Drouin, 1975, New York Islanders; Igor Larionov, 1994, San Jose Sharks).
Patrick Laine tied it 1-1 with a power-play goal at 9:29 of the second period.
Tomas Nosek, who was in the penalty box for Laine's goal, scored his first Stanley Cup Playoff goal on a rebound 43 seconds later, giving Vegas a 2-1 lead at 10:12. Hellebuyck mishandled a shot by Pierre-Edouard Bellemare, who got the loose puck and circled the net.
Vegas in Game 3 scored 12 seconds after Winnipeg tied that game, which the Golden Knights won 4-2. Vegas has scored within 1:28 of a Winnipeg goal four times in the series.
"The fact we always bounce back right away when they get [a goal] and keep the momentum on our side I think has been the key to the series," Fleury said.
