Who knows, maybe Hannity had some promotional business or charitable event to attend in Dover, at Dover Downs, or Rehoboth Beach, etc and didn't want to make the trip to Wilmington to do his show. I believe there is a civilian airport that shares the runway at Dover AFB, so Hannity may have been able to charter a plane to Dover or maybe he has his own Lear Jet, etc. Whatever his reason for being in Delaware, I didn't notice it in the Wilmington News Journal. Even if he flew to the New Castle Airport, he may not have had time to get back to Wilmington in time to do his show so WDOV was more convenient. I haven't been to the WDOV studios, but my guess is they aren't as nice as the brand new facilities that WILM/WWTX/WRDX all share.
Who knows, maybe Hannity pulls in a far better rating in Dover than in Wilmington (Kent and Sussex Counties are the Red counties in Delaware and New Castle is the Blue county) and since he was in Delaware for whatever reason, decided to throw the listeners in Dover a bone by being there rather than in Wilmington. Maybe WDOV had even promoted the event of Hannity being in town sort of how WILM did when Mike Gallagher did his show live from Wilmington.