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"It felt really good to get the win, that's it," Wheeler said. "We're going to score goals. Ultimately though, we're worried about playing the right way. Playing fast. Trying to lead with the way we play and with that comes some scoring chances and we're going to score on our fair share.
"It's all about getting two points [in the standings]. We have every guy pushing in that direction."
The Jets set a franchise record with five goals in the first period.
Wheeler scored three times in 4:20, breaking the previous Winnipeg/Atlanta record held by Ilya Kovalchuk, who had a hat trick for the Thrashers in 6:51 during the second period of an 8-4 win at the Anaheim Ducks on Feb. 15, 2009.
In the same span, the Jets scored the quickest four goals in franchise history, breaking the previous record of 4:54 set by the Thrashers in a 7-6 win against the Detroit Red Wings on Dec. 13, 2005. Three of those goals came in 34 seconds, faster than the previous Winnipeg/Atlanta record of 59 seconds set by the Thrashers in a 5-4 loss at the Montreal Canadiens on Dec. 2, 2008.
Brendan Lemieux scored his first NHL goal, and Andrew Copp, Joel Armia and Mark Scheifele each had a goal for Winnipeg (5-3-2). Connor Hellebuyck made 31 saves for his fifth win.
"It feels great," Lemieux said. "Obviously, really fortunate to have been able to get one and really excited. Every day I'm up here has been a blessing and I'm just trying to run with it."
Evgeni Malkin scored for Pittsburgh (7-5-1). Matt Murray allowed four goals on nine shots and was pulled in the first period. Casey DeSmith made 12 saves in his NHL debut.