How to list all taxonomy terms in a vocabulary followed by associated node titles in Views
Create a view in following way,

1. create a new view to show taxonomy terms of type state 
2. Then click relationship under advanced, and choose 'Taxonomy term: Content with term'
3. Then under 'fields' add ' Content: Title' as new field, by keeping relationship 'node'
4. Under 'format' choose HTML list (or table), and set  Taxonomy term: Name  as grouping   field
5. You can choose 'exclude from display' option for field  Taxonomy term: Name 


Then you will get the output in desired format as below,