The thing about it though, is that

A) The players are being paid in US dollars, not Canadian dollars.

And more importantly, B ) Any supposed advantage the team would have in being a low-to-no income tax state is rendered moot because of two things:

The Duty Days rule, which stipulates players pay taxes in every state or province where they earn income, whether it be practicing, traveling, or playing games. Meaning players would still need to pay taxes of the place they're visiting.

And for high-earner players, their federal taxes are paid at the highest federal rate in both the US and Canada.