You didn't clarify long gun or hand gun.
For handguns you can sell to an FFL in another State, just not to a private party without going through a FFL. (Also, the private party in the other State would be breaking the law by buying from you directly.)
Second question. You would be able to buy from a Nevada FFL and he would have to send it to a Colorado FFL for you to pick it up. For a private party to private party transfer, the Nevada private party would need "dispose" of the gun through a Nevada FFL and then you would need to receive it from a Colorado FFL.
For long guns, it will depend on the individual State laws on sale/purchase out of State. They vary.....