You would have to use URL actions. You can then specify the URL of the workbook you want to open.
This can even be dynamic by including dimensions in the URL.
See the example attached.
Put all 4 workbooks in a folder named "W2W" on your C:-drive.
Open book1 and hover over one of the 3 states, then click on the hyperlink. (this can also be done with a select action instead).
To see how it works, in Book1 go to Worksheet --> Actions --> Select the one I created and Edit
Thanks for your solution. However, how do you pass parameters (e.g filter info) between two workbooks.
I tried something like C:\W2W\Book<State>.twbx?FILTER=XYZ. It doesn't work understandably. I appreciate your help.