All the Providence RI stations transmit from Rehoboth MA, including WLNE, which is licensed to New Bedford MA but has its studio in Providence. The Yuma AZ stations use a site in California.
I think there are also examples to be found in markets such as Sioux City IA, Bristol/Kingsport, Columbus GA, the Quad Cities, Shreveport/Texarkana and along the TX/OK line.
WXOW La Crosse WI is located (studio and transmitter) in La Crescent MN. The old WHAG-TV had studios in Hagerstown MD but I think the transmitter was in PA (or was that WJAL?)
There are plenty of other examples of COL in one state, studio/transmitter in another and other such weirdness, especially in markets such as Portland OR, Philadelphia and Washington.