Most people think "selling insurance across state lines" means that a low-cost insurer in Mississippi will be able to sell plans in New York with very low premiums. That's not the case at all. For one thing, there will be a major cost for the insurer up front to set up contracts with a network of doctors, hospitals, etc. in New York. And you can be damn sure that no doctors or hospitals in New York are going to accept Mississippi reimbursement rates for their procedures and treatments.
This is why most figures I've seen suggest that a fully operational system of insurers selling across all state lines would probably only result in about a 5% reduction in premiums.
It's highly unprofitable for the reasons you state. If an insurer has no network established then they are at the mercy of whatever the medical provider will charge. Since they have no network, then any claim the insurance policy holder makes will be covered at the out-of-network rates so the policy holder will pay far more as well. It makes zero sense for either side to enter into that kind of deal.