That is their corporate headquarters, Minnesota. They must have a special deal to get the stuff delivered fast, even if across the border. Being such a large business, FedEx may even have an office in their plant that deals with nothing but their shipments.
From their website: "At any given time, more than 1,000,000 products are in stock and ready to be shipped from Digi-Key’s headquarters in Thief River Falls, Minnesota, USA. That means there are no lead times for in-stock products. Having so many products in stock in our expandable distribution space of more than 700,000 square feet (65,032 square meters) allows us to ship 99% of all orders the same day they are placed. On average, Digi-Key ships nearly 15,000 orders per day."
Yes, 15,000 order shipped per day. I imagine they have a real good deal with FedEx including customs clearance in their shipping area.