Edit: The event.Request.GeoIP.SubdivisionCode variable, which is the state for U.S., is available in Auth0 actions, but it does not appear to be available for Auth0 email templates.
It doesn’t look like the event.Request.GeoIP.SubdivisionCode variable isn’t directly available in the blocked email templates (you can use the {% debug %} template variable to see what all is included in the templater).
If you want to pass some custom data to the template, you can do so via the users metadata. For example, you could add the SubdivisionCode to the user’s app_metadata in a Post Login Action, then access it in the template.