Each player can be a member of only one state at a time. In order to join a different state, you need to first leave your old state.

 

The Deputy Governor, the Mayor, and the Member can leave the state at any time they wish. To do so press on the State Hall building and press “Leave” in the window that appears. After you leave your old state, some time must pass before you can join a new state. If you want to create your own state, there is no need to wait.

Please note that the Governor will not be able to leave the state until he or she appoints another player to this role. This will demote them to the status of Mayor, giving them the ability to leave the state.
If you are the only player in your state, you will be able to leave it. Once you leave, the state will be deleted.