Sorry, there is no built in way to automatically to do entry grouping. They only way to do this would bee to set this up manually using the state filter. This would require a shortcode instance for each state. Depending on what other requirements you may have this could result in a need for a more complex configuration.
Alternatively, you could enable the Region link option on the Connections : Settings admin page under the Advanced tab.
With this enabled, the state part of addresses would become links and when a user clicks on the link the results will be filtered by the state that was clicked.
I hope that helps!