Alex Pietrangelo scored for the Golden Knights (32-26-4), who went 0-5-0 on five-game road trip (outscored 23-11). Laurent Brossoit allowed four goals on 13 shots before being replaced by Logan Thompson, who made seven saves.
"Just didn't get in front of enough pucks," Vegas coach Peter DeBoer said. "It's pretty simple. I'm not a goaltending expert, but you've got to get in front of a couple. … I thought we battled for 60 minutes, right to the buzzer. We gave ourselves a chance right until the end, so I had no problem with our effort tonight."
Wheeler gave the Jets a 1-0 lead at 18:08 of the first period, cutting inside on Nicolas Hague and shooting glove side from the left circle.
Connor scored 33 seconds later to make it 2-0 when he corralled a rebound and shot five-hole from the right face-off dot.
"[Connor is] one of the premier goal-scorers in the league, and I think everyone's starting to really take notice," Jets forward Adam Lowry said. "He's a guy that can score in a variety of ways. He's so quick, his release is so deceptive, and he just finds the areas and the puck just seems to find him. He can beat you. He doesn't need a lot of time, he doesn't need a lot of space. He's hot right now, and hopefully that continues."
Roy cut it to 2-1 at 6:49 of the second period, scoring with a slap shot after getting to a loose puck in the right circle.
Ehlers made it 3-1 at 9:04, and Stanley scored his first goal of the season from a sharp angle over the right shoulder of Brossoit to extend the lead to 4-1 at 11:09.
"I wouldn't say I work on that one too much," Stanley said. "I made a shot and luckily it went in."
Scheifele pushed it to 5-1 at 18:25 when he shot short side on Thompson through a Wheeler screen.
"When we have the opportunity to put pucks off the net, that's usually a good indication that we're playing the right way, we're playing in the offensive zone and we're creating opportunities," Lowry said. "Sometimes it's human nature when you have high-skill athletes that they're going to look for the next play."