Are you still seeking answer to this issue?
How are you within your Tableau journey thus far?
Its possible that if State and City are not recognized as "Geographic" fields then this could be an issue.
If they are Geo dimensions, they'll have a Globe icon next to them in the data window. If they are Strings, they will show "Abc" next to the field name in the Data Window.
Otherwise, what you've described should work:
Thanks to Erin for hitting up some older threads!