First, even if that were true, a .939 save percentage would be unsustainable. That's a ridiculous save percentage, even at even strength. Shorthanded, it's unheard of. The league-best percentages in the past 3 years have been .911, .919 and .909, and all of those were behind very good teams. "Statistical anomaly" is easily the best explanation here, and there are still many of them - for example, the team with the best even strength save percentage in the NHL is Chicago, but they somehow have the league-worst PK save percentage at .779. That just doesn't make any damned sense.
Second, I'll see if I can't dig up the shot location data for their PK, but it's pretty unlikely... that's always the standard answer ever since the Lockout Leafs. It never turns out to actually be true.
Third, save percentage isn't an "advanced stat". It's a regular stat used by literally everyone. This is just common sense.
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