BCBS of What?

I received an “important questionnaire” today from Blue Cross Blue Shield of Massachusetts. The return address on the letterhead is a P.O. Box in Oaks, Pennsylvania. The destination address printed on the reply envelope is a different P.O. Box in Omaha, Nebraska.

Am I the only one who thinks this is a little weird for a company whose name ends in “of Massachusetts?”

At the very least, they should offer some explanation.