Folks with the courage to uproot themselves, and go far away to find work (and in a place with the most unfriendly social safety net perhaps in the nation), are not a random sample of the population.
You mean, they have less conservative personalities?
... Yeah, OK, who knows how this reflects on political ideology (I certainly don't presume to) but that was too easy.
I mean, there are four possible components to this phenomenon that I can think of. One is that the redder states tend to have more bureaucracy and therefore are more expensive to exist in. The second is that the bluer states make life cheaper by externalizing problems to their neighbors and into the future. The third is that the redder states tend to value certain things (e.g. rich culture, open space, social services, catering to NIMBYs) more than they do purely efficient spending. The fourth is that people in economically depressed states tend to vote for the party that promises more for the poor -- just look at Nevada's swing from '04 to '08.