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Zion is very worth it, but you can't really go wrong with any of those places. I've been to Rocky Mtns and it was absolutely beautiful.
If you go with someone else, you can get to the Tetons in under 24 hours. Google Maps says 17 hours of driving from St. Paul. By yourself, it might be wise to break that into two days, but if you can share the driving with someone else, I'd push for a single day. Likewise, the drive to Rocky Mountain National Park looks even shorter. 13 hours, according to Google Maps. That's a single day of driving, even solo.
Flying into Las Vegas and renting a car is a smart move, though.
