My dealer has received several guns for me from out of state sales. All that was required was that I sent my dealers FFL to the seller and they sent the gun directly to my dealer. My dealer performed the background check and received his transfer fee. That was it. Of course, that probably doesn't mean diddly to your dealer. Ask him what specific part of the law requires the gun to be shipped from an FFL holder? This is what I found at the ATF websites FAQ:
Before he tries shipping it back, ask him to call the BATF to confirm what is needed before he wastes your time and money.(B3) May an unlicensed person obtain a firearm from an out-of-state source if the person arranges to obtain the firearm through a licensed dealer in the
purchaser's own state?
A person not licensed under the GCA and not prohibited from acquiring firearms may purchase a firearm from an out-of-state source and obtain the firearm if an arrangement is made with a licensed dealer in the purchaser's state of residence for the purchaser to obtain the firearm from the dealer. [18 U. S. C 922( a)( 3) and (5), 922( b)( 3), 27 CFR 178.29]