But if you live in those states, internet sales of ammo are banned and background checks are required prior to in-store sale.
Hence the 'tracking you' claim.
When I lived in California, I would buy my ammo in Nevada just because I didn’t want to deal with a background check every time. Just don’t buy at the store closest to the border and drive right back into CA - the CA authorities have been known to have undercover officers in those stores looking for purchasers with California plates, and have them pulled over once they cross the state border back into CA.