Yup, if it was legal to buy a heavy machine gun in Wyoming, you could easily just 'import' it to your state via a road trip. As long as you don't take planes or don't cross the speed limit, it's unlikely you - let alone your bag - would ever be checked.
All truly legal machineguns were banned in 86 moving forward. Those older were grandfathered in. They are heavily regulated. This guy supposedly had a prior record, which would disqualify him. These weapons are regulated at the federal level, there is no getting around the ATF. This would be the first ever use of a legally acquired automatic in a shooting of this sort. The NFA has been very effective.
It's most likely a stolen or illegally modified weapon.