You should always include a cover letter with an application, regardless (even on-line applications).
Lots of employers nowadays get "spammed" with applications from people all over the country who may or may not have any intention of moving to the state unless they (miraculously, under those circumstances) get a job, so I don't think it hurts to let employers know that you are moving permanently to their area, and this is not some whim on your part. I have relocated a few times over my career, for various reasons, and, each time, I have job-hunted in advance -- including making one or more trips to the "new" area in advance for job interviews
(plus looking for housing, etc. -- it's pretty hard to relocate to a new part of the country without doing some
"advance work" ...). In each case, I was able to have a good job lined up before I actually moved. I would encourage you to be proactive about job-hunting and communicating with potential employers, including, if necessary, making one or more trips for interviews -- although some employers will do at least initial interviews via telephone.
I guess it really comes down to how badly do you want a job??