Yep. Anything lottery has to establish a lawful chain of possesion. Stupid winners somehow believe that if they hire enough scam lawyers and advisors that they can somehow be anonymous. Fools!
Even in those states that do allow anonymous collection of jackpots, people will likely get a clue from the changes in lifestyle. If I won the (non existent) Alabama Lottery and kept it quiet, people would still wonder why I quit my job and started driving a truck everywhere with a bass boat in tow. Not a problem, really, since I would also be making several firearms purchases for increased self defense purposes.