It's certainly an interesting idea. One could even push it further beyond honoring the KY CCDW to mandating allowing their own citizens to exercise their constitutionally protected rights. "Honor the Constitution or 'F you'" makes more sense than "Allow (illegal immigrants/illegal drugs/etc) or 'F you'".
You can't fly on an airline if your ID is from the "wrong state" and there is an absurd hodgepodge of what types of ID will work for what activities (travel, voting, buying guns, etc.) If the nation can't even get their shit squared away on drivers licenses and IDs, I'd be shocked if they could do anything sensible with CCDW permits.
Instead of just travel, how about no travel or trade with those states? Like mentioned already, it could either cut our throats on trade (counting only sea ports from the top 10 largest, ban states account for 265,743,977 short tons of total trade in the US - KY goods have to come in and go out somewhere) and tourism, or it could be incentive to a) spread reciprocity b) make more stuff in the commonwealth c) increase local tourism. I have an idea of which side of that equation we would realistically land on.