I believe Jesse and Frank James lived in at least 3 different states; Missouri, Tennessee, and Texas. (This info was taken from census). I haven't found anything that tells me that they lived in any other state, yet.
Also..., found info that says that on Frank James death certificate, his name was Arthur Franklin James, and not Alexander Franklin James, as so many have stated. I would like to, personally, see that death certificate! Better yet..., his birth certificate! His mother ought to know what she named her own child when she gave his name to go on the certificate of birth! The person that gave Frank's name as being Arthur, could had been in mourning and not thinking straight, also could had never heard his first, given name, mentioned...., maybe due to all the aliases he went by.