Most states are not on the ocean, and few are on major navigable rivers. It would be pretty pointless for most states to have naval National Guard units. In addition, there isn't that much spare equipment to go around. Unlike planes, tanks, and ammo, the Navy doesn't have a bunch of old spare ships to give to 50 states.
Several states, however, do maintain their own naval forces outside the National Guard command structure. Here
is the painfully ugly site of the New York Naval Militia, for example.