Heres  a weird scenario.  I'm currently stationed out of FT. Cambell, Kentucky and a declared resident, but deployed to Afghanistan.  I have the itch to purchase some firearms while overseas, but the only people I know are either here with me or in Illinois.  Now the people I know in Illinois are FOID holders while I am not.  If I purchased a weapon, and had it shipped to an Illinois FFL to have a friend pick it up, would there be any way for me to pick it up in Illinois?  Or would I have to have them drive the firearm past state lines?

I don't know of any way for you to legally "purchase" a firearm without actually being present at the dealer's to complete the 4473 and any other paperwork required by your state (if any). A friendly dealer may agree to hold a firearm you have paid for and arranged to have shipped to them for your later pickup in person, after doing the 4473 etc. You will just have to ask yourself if the risk is worth taking the chance of doing that.

What you are describing is a text book straw purchase.  

My suggestion would be for you to ask on the KY hometown forum to recommend an FFL dealer in KY who you can order what you want, pay for it and have him hold it for you until you return to KY.