Wyoming currently has closed primaries, but it permits voters to change parties on primary day, at the polls. Foster Friess, who lost the Republican gubernatorial primary on August 21, has suggested that the 2019 legislature change the law, so that party switchers would not be allowed within 21 days before the primary. He appears to believe that Democratic voters switched to being Republican on primary day, and voted against him. See this story.
UPDATE: also see this story.