Broadcasting & Cable is reporting that most Fox affiliates aren't particularly interested in a late night talk show with O'Brien (or anyone else presumably) airing on their stations (they feel they can more money from their existing syndication and late night news deals):
Amidst the speculation that Tonight Show frontman Conan O’Brien might shift to a similar role on Fox, multiple managers at Fox affiliates say they’re lukewarm on the idea. All pointed out that it’s premature to speculate on an O’Brien-at-Fox arrangement, and none were comfortable commenting on the record for that reason. But their off the record comments indicated a low level of interest in O’Brien airing on their stations.