He didn't literally mean states within the U.S., but was referring to nations as "states."
It's not like he's going to look at an electoral map and decide to attack based on which way any particular state voted.
Then again, I think that this is the most he can throw at us right now. If he could attack us, he would have done so -- he doesn't warn before doing so.
Frankly, this was my first reaction to his latest video:
You need to look at this:
Bin Laden to states: Don't vote for Bush -Speech mistranslated by most media as threat against foreign countries
He did mean individual states and yes, he does warn before attacks. Each of his messages are warnings of attacks if the message is not heeded. For example, Europe was warned in messages before the Madrid bombings. He warned the US for years before 9/11 but no one was listening.