It was Connor's seventh career goal in seven games against Vegas.
The Jets won their second straight game on back-to-back nights, after surviving San Jose's 53 shots Friday during a 3-2 victory.
Combining regular season and playoff games, the Jets are now 2-4-0 all-time at T-Mobile Arena.
It was the second time in three nights the Golden Knights blew a two-goal lead in the third period, after losing to Montreal 5-4 in overtime on Thursday.
Winnipeg is 4-3-0 against the Pacific Division this season after going 16-6-2 against Pacific foes last season. The Jets are on a 29-10-4 run in their past 43 games versus the Pacific Division.
Perreault gave the Jets an early lead with his 200th point as a member of the Jets, as he deflected Gabriel Bourque's turnaround shot off Vegas defenseman Deryk Engelland's turnover in front of Subban.
It wouldn't take long for the Golden Knights to answer, as Marchessault's power-play goal a little more than two minutes later tied it and started a string of three unanswered goals in less than three minutes.
Pacioretty put Vegas on top 2-1 when he buried Mark Stone's cross-ice pass that split a pair of defenders after he did a fantastic job of keeping the puck in the offensive zone. Stone leads Vegas with 18 points and has at least one point in 13 of the team's 15 games this season.
Schmidt notched his first goal of the season when he skated in behind Winnipeg's defenders during on a 4-on-4 and one-timed William Karlsson's second assist of the game.
Karlsson also assisted on Marchessault's goal, moving him two points shy of 200 for his career. It marked Karlsson's fourth straight game with a point.
Perrault's second goal came midway through the third period just 15 seconds into a power play, cutting the Golden Knights' lead to one. It was Winnipeg's first power-play goal in four attempts against the league's second-best penalty kill, as Vegas came into the game having allowed just five goals on 51 penalty kills.
Scheifele tied the game with a disputed goal, after it appeared Schmidt beat Connor to the end line for an icing call. But when the call was waved off, Connor fed Scheifele for the one-timer past Subban.
After starter Marc-Andre Fleury took a maintenance day on Friday with the flu, per coach Gerard Gallant, the Golden Knights recalled goaltender Garret Sparks on an emergency basis from the AHL's Chicago Wolves. ... Vegas forwards Stone, Cody Glass, Cody Eakin and Ryan Reaves hail from Winnipeg. ... Jets center Adam Lowry sent Vegas wing Alex Tuch to the locker room after a vicious hit to the head. It also resulted in Reaves' sixth fight (per hockeyfights.com) since being acquired by Vegas in 2018, as the Golden Knights enforcer took exception to the hit. ... With his two assists, Connor passed Todd White for 21st in franchise scoring with 138.
Winnipeg: Opens a four-game homestand against New Jersey on Tuesday.
Vegas: Opens a four-game road trip at Columbus on Tuesday.
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