Can you please attach a packaged workbook to the post so the Community can better assist with your question.
I believe this thread has an example of how to accomplish the desired result: Only Show Filter Selections in Title When Not "All"?
This is also a good discussion: Change 'All' Label in Worksheet Title
Hope this helps!
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You can do this with a combination of a parameter and a calculated field. Create a parameter using your "State" field - right click on "State" in the dimension list, click "Create" > "Parameter". On the parameter menu, add a value at the end of the list that's simply "All". Click and drag your "All" value to the top of the list. Click "OK"
Create a calculated field for your State Name worksheet that uses your State Parameter like this:
if [State Parameter] = "All" then "List of States" else [State Parameter] end
That will give you either "List of States" or a state name.
Let me know if you have any questions.