I know the used to have a TN-KY All-Star game years ago but don't know if they still do.
Yes, they still have that game, and it is played at the University of the Cumberlands (Williamsburg, KY) in January. They call it the "Tennessee/Kentucky Border Bowl".
The old TN/KY game lost its sponsorship about a decade back, and this one popped up, sponsored by the National Guard, about 6 or 7 years ago. It started out just being players from East Tennessee and Eastern Kentucky, but it has expanded over the last couple of years to include players from each entire state.
There is a whole lot more to it than just deciding to have an all star game. They are expensive to stage. Just the insurance cost alone is a huge expenditure.
The Toyota East - West All Star Classic is sponsored and hosted by the Tennessee Athletic Coaches Association. Toyota stepped up a couple of years ago in a huge way to underwrite expenses.