Even if they don't arrange shipping themselves, there are companies that transport cars for private individuals that you could get.
I'd be afraid that a dealer might want to give you the least desirable car they have on their lot. Like if one has a little bit of lot damage on it, you'd then have to go through the hassle of trying to arrange with the dealer to get it repaired at a local dealer.
It's a good idea if it can save you a lot of money, but if it was me I think I'd fly out and drive the car back if the savings would pay for that expense.