The state-specific requirements add some cost but the real cost is in negotiating with and managing a network of providers and in marketing and customer service.
The big providers, United, Anthem, Aetna, etc., have already consolidated their back office operations nationwide (e.g. IT, accounting, claims processing) so entering a new state is pretty easy - just come up with the provider network, marketing and support infrastructure - which they would have to do even if there was no regulation.
What keeps the big players out of a given state is their business decision that they won't make enough money there, and it isn't because of regulation.
They already do this on a county-by-county basis within a state. Doing the same thing on a state-by-state basis is a trivial addition. And I would bet that regulation IS a big part of it.
Deregulate and see who succeeds in competition.