Since it is out of state, I would be surprised if you can put your home state's taxes in the loan, but I don't really KNOW. Of course, you can just put down that much less on the RV, then have the cash to pay the taxes. Six of one, half dozen of the other.
Every state is different in whether to collect taxes or not. I live in TN, but bought my MH in MS. The dealer didn't collect any taxes at all, and I paid them on registration. (He also did not supply me with a driveout tag, but I got lucky and got it home without being stopped. I went that afternoon and got a TN temporary tag.)