What state of matter are nebulae in?
Nebulas are not static objects - they evolve.

Initially a nebula might contain mostly (as an example) hydrogen, helium and some other elements in a cloud, but over time that material will clump together to form larger and/or denser material.  Eventually parts of some nebula can even condense enough to form a star and it's planets.  Our solar system was (probably) once part of a nebula.

So there's no single answer to your question.  They can contain most forms of matter.