One FFL could not do both. Since logically, say you are transferring your gun to MO, so you send your gun to the FFL in MO for the other guy to pick up. Now this FFL can't do much with the other guys gun cause he is in MO and you are not. This MO FFL can send the gun to a FFL in IL for you if the one in IL will accept.
A big circus act, but this is Federal Law and is felony if not followed properly.
I was trying to explain this to my Dad cause I'm in IL and he can't just give me a gun from MI. He would have to go through a FFL in IL.