Fair fair... With the exception of a face-to-face purchase, most of the popular internet sites won’t do this. Like water, we’ve all tried to play this game since 2013.. If its a smaller time out of state FFL, it probably works.
You need to find better site, or become friends with local/over the state line FFLs. There are probably as many out of state dealers that will ship the magazine to an alternate address as there are that won't. And Private sales, most times, aren't an issue if the seller send the magazines to the alternate address while his FFL sends the firearm to your FFL.
Most of us that play this game, do so successfully, instead of trying all of the "cheap sites" Some times it pays to pay a little more.