I'm not sure that I'm following your question - are you trying to filter to a state and only see the cities within that state? If so, if you have a state dimension in your data source it should just show the cities within that state.
Or, is the question that you only want a background map with the selected state? You might be able to do that with a dual axis map, but there isn't an option to filter the base map itself.
Or, do you need an arbitrary boundary drawn around the selected points within a state (not aligned with the state border)?
Or, is this a different question all together?
Could you provide a workbook to better explain the problem?