This is not true. It's a common misconception based on the simple fact that people don't get caught driving across state lines to make private firearms purchases, but it's NOT the same thing as crossing state lines to buy "a shovel or refrigerator."

Whether buying from an FFL or from a private seller, gunbuyers are only allowed to buy within the states which their state of residence allows without filing transfers through FFLs. Most typically this means contiguous states for long guns (bordering your state of residency) and ONLY within your state for handguns. If you're buying a handgun, LEGALLY it has to get shipped from an FFL to an FFL to cross state lines. If you're buying a rifle from two states over, same deal.

Again, that's technically all a BUYER's restriction, and sellers are obligated to validate nor verify (although it's wise to do so).