What state should I start my investment LLC in? Is there any issues with an investment company in "x" state can buy property in "y" state?

I have one investment property in Tennessee, live in Virginia, and just went under contract on a property in Indiana (where I am actively searching for more properties). I am active-duty military and my legal state of residence is TN.  

I'm not necessarily looking for specific legal advice, as I realize this is a specific question that needs to  but looking for conceptual information on the topic. Thanks all.

@Bo Goebel if your "home base" is in Tennessee, I would set up the LLC there, then register it to do business in whatever other states you are investing in.

Thanks @Bryan O.  
Tax incentives make Tennessee a great choice too. 

@Bo Goebel I have mine in Virginia as the yearly fees are ridiculously low and I register as a foreign entity in other states. Virginia is pretty good with the laws as well regarding asset protection &if you do it right

@Bo Goebel your properties will be taxed in whatever state they reside. Talk with your CPA to be sure how it breaks out for you and what it will mean.

@Bo Goebel

It is normally advised to set up the LLC in the state that the property is located in; In this case Tennessee.
Before you acquire the property in Indiana - you have the option of registering the LLC to also do business in Indiana or to create a new LLC in Indiana.

Please also acknowledge that Tennessee may have an LLC franchise tax.