I am not a lawyer, but my understanding is that while it is not technically illegal to ship ammunition to Massachusetts, the state Attorney General has a policy of harassing those companies that do to the point that it just makes more sense for them to adopt a policy of not shipping to MA. I have heard rumors that there are some companies that will ship to MA, but trying to get a random person on the internet to reveal them to you is unlikely to happen, there is a little bit of (perhaps justified) paranoia about sharing that information with someone you don't know in real life.
I have had ammunition shipped to me, but only as part of a larger order that included C&R rifles. I doubt that made a difference, but I have no experience having ammunition shipped without a rifle in the same order.