I'm not sure either, but it is really annoying. I think it probably has to do with a charter from England that referred to it as a commonwealth which it would have been at the time.
Now I think it is another way that people from MA look down on other states since they are merely states while MA is a mighty mighty commonwealth. Now the funny thing is that the nickname is the Bay State. And on the evening news they only refer to it as the Bay State.
So which is it? State or commonwealth? I don't see how it can be both.
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Leonard Nimoy: Do you even know who I am?
Mayor Quimby: Aren't you one of the Little Rascals?