I think it's a bit of a "boy who cried wolf" situation:
Trump has often blamed others when something adverse happened in his life that he was responsible for. And now that he really isn't to blame, many people still assume he's somehow responsible (especially since he seems to profit from it), and a conspiracy theory appears.
As with other conspiracy theories, there's some belief defense at work, only now the general belief being defended is somewhat well-founded; it just doesn't apply to this instance (as opposed to, say, Flat Earth, which is ill-founded to begin with).