No paperwork is ever required, although some sellers ask for a bill of sale. Even that is not very common.
From the NRA-ILA site:
http://www.nraila.org/gun-laws/state-laws/pennsylvania.aspx
A synopsis of Pennsylvania state laws on purchase, possession and carrying of firearms.
“PURCHASE
Any individual or dealer selling a handgun is required to sell or transfer it at the place of business of a licensed dealer or county sheriff’s office. ...”
Looks like it’s a PA state law.
AZ is very different:
http://www.nraila.org/gun-laws/state-laws/arizona.aspx