There are any number of other things things that didn't happen -- if Oswald had been walked out of the building early, maybe he'd have been run over by a bus, and we'd have a bus-driver conspiracy theory instead of a Jack Ruby-based one. But he didn't, and wasn't, and so that theory doesn't exist.
It's easy to see conspiracies in long chains of events that have unfortunate consequences. But if you look at unfortunate events that are demonstrably not conspiracies (e.g. power plant or aerospace accidents), you'll see the same sort of stupendously-unlikely chains of events feeding into each other. They in fact do tend to be very unlikely, generally coincidental, events, but it's important to keep in mind that we're only looking at the events that lined up in such a way to produce a particularly bad outcome. All the times that little failures happened but didn't produce the meltdown or explosion or whatever, we don't pay any attention to.
Such is the case with conspiracy theories: it's easy to look at something after the fact and say "what are the odds of that happening?!" when in reality, the odds of it happening were 100%: they happened. (And if they hadn't happened, we wouldn't be remarking on them.) But the human mind seems to deal poorly with coincidences, so there is a desire to assign agency to random chance.