If you live in a town near the border of the two states, this is very common. If the two states are an airline ticket apart, the lender will want an explanation. The closer you are the less of an issue. If you are a pilot who flies out of Chicago but you prefer to live in Miami, this could make sense. If you are a retail clerk and are 3 hours away from your job, this will raise reasonable questions.
The lender you choose must be licensed in the state the property will be located in.