Well sure, UPS doesn't have to load it up on an airplane and fly it to Tennessee (I think that's where their hub is) if you ship it in the same state. Of course if you ask for next-day shipping, they do that anyway.
I'd rather get the cheap shipping and no taxes and accept a couple of extra days shipping as the norm, and only pay extra for when I really DO need it as soon as possible. Paying taxes every time is like paying for next day shipping every time you order, even if you don't want to, and doesn't even guarantee you get it that quickly.
Of course, you can't control it either way. And the states would prefer we always pay taxes, preferably for both the shipping state and the state we live in if they're different. And if you live in a non-warehouse state with a sales tax and income tax, you're supposed to report it on your annual taxes and pay the sales tax then.