If you are in Nashville, and you are purchasing a handgun from Bowling Green, Kentucky, then you would need to have it transferred via an FFL Dealer. Find a dealer in Nashville who will do the transfer for you, and you should be good to go. When it comes to long guns, you should still be ok to buy direct, I believe. If I'm wrong on this, I'm sure someone will come along shortly with the right information.....
"If the grass is greener on the other side, water your OWN lawn."