Makes perfect sense. New London is a short drive from the Rhode Island border, and Yankee fans are scarce in the Ocean State. Cite DMAs all you want. You're not in Connecticut. I am, and have been for 35 years. I've seen the fan preference surveys and every time one is conducted it shows a sharp tilt toward Boston sports once you cross east of the Connecticut River, no matter which DMA a given town is in. The split here, about 10 miles west of the river, usually comes out something like 60-35-5 Yankees-Sox-Mets. Head east 40 miles or so and the split favors the Sox and the Mets disappear.
For what it's worth, Channel 38 was on the local cable system with Red Sox games in the pre-RSN era, as were Channels 9 and 11 from NYC with Mets and Yanks. This was the case in most of central Connecticut from the Massachusetts line down to New Haven. Yet there were always more Sox fans here than in New Haven and more Sox fans up in Union (the Connecticut town across the border from Holland) than here. I can't explain it. It's just the way this state has been for the last three and a half decades, at least.