I think out of town guests should also get an invitation, even though you probably already know they cannot come. It’s just a courteous thing to do, to let them know that you are having a baby shower. But, it is not absolutely necessary to send them one, I don’t think anyone from a few states away will be offended if they don’t get an invitation. If you do send them, be sure to include your gift registry information with the invitation. They will most likely want to send you a gift if they cannot attend the shower.