They were 9 miles away from the airport and weren't even on the assigned runway heading, but got 525 feet above ground at low speed before ATC gave them a low altitude warning.

Seems like either:
1) They didn't realize they were flying this low and this slow
or
2) They thought they were correctly lined up with the runway and were descending to land. There is an airport in Yukon with a runway in the direction they were heading (which was a different direction than their assigned runway at the OKC airport), but apparently they had already passed it, so it's still not clear what they were lining up for.