The TP will only show the state when you are dialing a number, not when you have an incoming call.
The only app that shows the state (and city) for incoming calls is one I wrote called
LocateCaller
I've attached the CAB here. Change "HKEY_LOCAL_MACHINE\
Security\Phone\Skin\Enabled" to 0, install the CAB, and soft-reset.
Feel free to show your appreciation by buying me a
coffee