As detailed here, Santa originated from the Dutch Saint Nicholas. That is the simple and factual answer. Just like anything else that becomes legend, the facts get lost and pop culture takes over. Most people that care to think and reason can understand that the U.S. commercialized Santa Claus and made him into a fictional, gift giving, omnipresent jolly old elf. Christians don't conflate Santa and the birth of Christ - non Christians can't seem understand that.
So why are self-proclaimed Christians like Bill O'Reilly conflating Santa Claus with Christianity?
I'm not sure I ever heard Megyn Kelly say or suggest she's a Christian, but I'm going to go a limb and assume she's in with Bill O'Reilly. At least for the sake of this argument.
Why are these folks, conflating Santa with Christianity?
Either they aren't Christians, like you suggested, or they are severely wrong.
I wonder which one.