Baylor (talking to Missy): Natalie and I think we should vote Jon off.So, Jon does NOT win the Immunity.
And since Keith is the only other option for the majority alliance, I'm betting Keith doesn't win the immunity either.
We can positively deduce that Missy won't win it either, so one of Baylor, Natalie or Jaclyn has won it.
From the sound of Jon's confessional, stating that he has trust in his alliance, it's probable that they have him believing that Keith is the target.
At this point it will be up to Keith to decide if he wants Natalie gone or he wants Jon gone.
OR Missy doesn't want Jon gone but she may be okay with booting Jaclyn. (And honestly, it's the only person left that doesn't have some sort of tie to Missy.)