From what I could find:

Under Utah law (Title 26B, especially §§ 26B-8-204 and 26B-8-205), the medical examiner must investigate and may perform or order an autopsy for deaths that appear to be any of the following: By violence (including gunshot) or from suicide ...

But also found:

a public assassination by gunshot falls under "death by violence" and the medical examiner is required to investigate and may perform or order an autopsy.

However, in limited circumstances an autopsy might not be performed even for a gunshot death, for example:

the medical examiner determines cause and manner conclusively from external exam and scene evidence and deems a full internal autopsy unnecessary; jurisdictional or procedural factors (e.g., another authorized forensic agency conducting a different examination);

autopsy deferred or limited pending criminal investigation, toxicology, or legal requests (but an external exam and evidence collection still occur); a legally authorized representative or prosecutor requests limited examination under statutory provisions.

It does seem one should have been performed in this case though, especially with the type of wound not matching what would be expected according to the official narrative.