This is something you will have to speak to your probation officer about. If the probation officer is not willing to help you, find an attorney to do a motion to modify your sentence to address this issue with the court. The only drawback to this is that the judge may modify the sentence in an unfavorable way.
In Arizona, they call it an "Interstate Compact". You have to pay money (surprise, surprise), then you have to wait for a probation officer in your destination state to agree to take you. It isn't automatic.
I agree with the above statement. Keep in mind that laws vary from state to state.
I strongly recommend that you consult with an experienced lawyer IN YOUR COMMUNITY and have a confidential discussion about your circumstances and options for resolution.