Just because you haven't been caught yet does not make it legal. Some considerations:
1. Know what states don't allow it before entering that state.
2. What happens if you are stopped? Ticket or make you disengage the extra trailer???? Some states may well make you drop the offending trailer. What then?
3. Have you checked to see what your insurance carrier has to say about illegally towing if you wreak.
You may "flout" a law, but eventually it will come back to bite you. Those states not allowing double RV towing do have their reasons. It is not up to you to decide, it is their right to dictate their standards to drivers within their jurisdiction.
By the way: I don't know of a state NOT allowing double towing that will allow you to tow double there because your state allows it.
My biggest concern is that your insurance company may well refuse to cover a collision because you are towing illegally in a state prohibiting double tows.