I don't know about this particular situation (NH and MA seem to have expensive power as well), but you can have significantly different costs on one side of the line or the other for regulatory reasons. State regulations can affect the cost of business significantly, and electricity is no exception.

They are very dependent on natural gas and they also heavy environmental protections/pollution regulation that makes it hard to build stuff like pipelines and, hence, makes electricity more expensive compared to states with less environmental protections.