You cannot buy a handgun in a state you do not reside, and a gun must be legal in both the state where the transaction is occurring, and the home state of the buyer. (that's federal law)

Although it's illegal to "knowingly" sell against those rules, most buyers don't live by the "don't ask, don't tell" methodology. So in a lot of cases (don't have statistics on it), sellers will want to verify the buyer's home state, and probably even keep a receipt with the name incase the gun is used in a crime, and the ATF comes knocking at the buyer's door.