Sorry, but I don’t think I can answer that as I’m not an SEO expert. What I can tell you is explained this QuickTip.
Search engines should follow the pagination links of the directory. And to be even more certain, assuming your categories are states, you could create a menu link to each state. Alternatively, if you were very consistent with your naming of states when inputting addresses, you could use URI/s like the following when creating links: /directory/region/PA
directory would be the actual page your directory is on.
region can be changed to state on the Connections : Settings admin page under the Advanced tab.
What this URI does is filter the directory on the state field in addresses.