There’s skepticism about Gov. Paterson‘s claim that he couldn’t have been caught with a woman in a closet at the Executive Mansion in Albany because, “We don’t have a utility room in the mansion.” Two sources told The Post’s Fred Dicker that there are several closets in the 39-room mansion. “There’s one just to the right of the elevator on the first floor, and I think on the second floor as well,” one state employee said. And an official under former Gov. George Pataki stated, “I’ve been in the mansion many times, and I’ve seen a utility room.” On Jan. 30, we reported that Paterson was discovered in a closet with a mystery woman.