The fields list is in controllers/admin/AdminAddressesController.php
$this->fields_list = array(
'id_address' => array('title' => $this->l('ID'), 'align' => 'center', 'class' => 'fixed-width-xs'),
'firstname' => array('title' => $this->l('First Name'), 'filter_key' => 'a!firstname'),
'lastname' => array('title' => $this->l('Last Name'), 'filter_key' => 'a!lastname'),
'address1' => array('title' => $this->l('Address')),
'postcode' => array('title' => $this->l('Zip/Postal Code'), 'align' => 'right'),
'city' => array('title' => $this->l('City')),
'country' => array('title' => $this->l('Country'), 'type' => 'select', 'list' => $this->countries_array, 'filter_key' => 'cl!id_country'));
You can modify it to include the state, I guess.