I've never even heard of a transfer from a private party across state lines except to a repair facility or gunsmith.
Not sure why.
I once sold a gun across state lines; I drove over the border to the FFL and handed the gun personally to the dealer. He logged the gun and started the process of transferring it to the buyer.
I can understand a FFL wanting a clear idea of how the gun came to them, but I have yet to see an incident where a FFL got in trouble for accepting a gun across state lines from a private party. Not that it's never happened, but given how many I read about refusing to do so, I would think there would have been some incidents of that happening.
Really, it's precious little different from somebody bringing a gun in on trade- that comes from a private party too. Same state (usually), but still; there's no ATF regulation prohibiting it.