We should remember two things:
1. For all the Democratic red state victories and Republican failures, they've all occurred in states that have elected Democrats statewide in recent elections, mostly when there are several statewide Democrats still serving. The lone exception I can think of is Alaska, where Ted Stevens was convicted of a crime on the eve of the election.
2. Every Democrat elected in a red state has been either a current or former statewide officeholder or a sitting congressman. Nunn is neither. Yes, a better candidate would've won Missouri, but we shouldn't discount Claire McCaskill's role in winning.
Even though we all hear about Georgia turning blue, Republicans won all 9 statewide races in 2010 by at least 9 points. They haven't won a senate seat since 1996. Nunn certainly carries a famous name, but that's all she has.