If there was someone who was supposed to win Alabama and Mississippi, it was Newt Gingrich. Instead, Gingrich finished second behind Rick Santorum, raising new questions about the next step for his Presidential campaign.

Gingrich on Wednesday starts two days of election events in Illinois which votes next Tuesday - but Illinois is a perfect example of the trouble that Gingrich is in, as a poll this week showed Mitt Romney with a small lead over Santorum; Gingrich was far behind in third.

"Obviously we would have liked to have come in first," Gingrich said to backers at his election night party in Birmingham, Alabama, as a week's worth of campaigning only in Alabama and Mississippi did not pay off for the former House Speaker.

But if you were waiting for Gingrich to throw in the towel - think again.

"We're going to leave Alabama and Mississippi with a substantial number of delegates," as Gingrich made clear several times he is going all the way to the Republican convention in Tampa.

"The elite media's effort to convince the nation that Mitt Romney is inevitable just collapsed," said Gingrich, who made the case that both he and Santorum together could join and deny Romney a majority of delegates.

That certainly is a possibility, though I still think we should hold off on talk of a brokered or contested convention at least until we get into April.

But if Gingrich won't get out, then it's possible he could keep picking up delegates in various states, hindering both Romney and Santorum in the process.

"The fact is, in both states, the conservative candidates got nearly 70% of the vote," as Gingrich took repeated shots at Mitt Romney, again labeling him the Massachusetts Moderate and more.

But the other fact is that Gingrich has only won two states - and Santorum has rebounded from his tough defeats in Ohio and Michigan to win three straight contests; and it is possible that Santorum will win again on Saturday in Missouri.

For now, Gingrich will stay in the race - but can he stay relevant?

That's difficult to do when you don't win.