Is it illegal to have auto insurance in a different state than the one you live in?

I live in the state of texas close to the oklahoma border. But my insurance is in the state of oklahoma in my grandfather's name(And address) Is this illegal? I am listed as an insured driver under my grandfather's policy, But Still live in Texas,(Which is a different state than the insurance is in{Oklahoma}) I'm paying my own insurance, It comes in my name-To my grandfather's address.