Actually, Cabella's can sell you ammo. It is not their job to ensure that you are allowed to possess ammuntion. Only in Canada does the nanny state make a dealer responsible for a customer's knowledge and compliance with the law.
And, if you have a hunting licence valid for any state in the Union, you can, in fact, purchase and possess such ammo. But, when you turn your car towards the border, and any federal officer stops you, he will have no trouble getting a conviction for attempting to illegally export ammunition from the United States without an export permit. You do not have to attempt to physically cross the border to be convicted. a "reasonable man" will beleive that a Canadian, with no hotel reservation or belongings at some American address, in his vehicle, driving towards the border, intended to cross that border with whatever goods are in his vehicle.
If you are lucky, you get to walk across the border, sans your wheels, to return and face charges at a later date. If you are not lucky, in a remote border state where the jails aren't filled to overflowing, they may just hold you for trial, and then you gotta hope the judge has Canadian friends, personally thinks the law sucks, believes you were just ignorant of the law, and sees no point in the United States government feeding and housing you for up to ten years.
Me, saving a few bucks just don't seem worth it. But our jails are full of fools who think such things are "worth it" so I suppose there is a market for the Homeland Security guys to serve!