Probably yes.  States that have a general state sales tax often exempt charities from its coverage, but normally require a separate application to obtain such recognition.  Qualification under the federal 501(c)(3) standard is not necessarily sufficient to qualify under the state standard.  (See Ready Reference Page:  “Act 55 Defines ‘Charity’ Eligible for Exemption [in Pennsylvania]”) 

But obtaining tax-exempt status in your home state does not necessarily give you exemption in another state.  In most cases, in order to qualify in another state that has a charitable exemption, you have to file and obtain a separate exemption there.  It obviously isn’t cost effective to apply for one training session, but if you are doing a lot of business and purchasing a lot of goods or services there, it may make sense.