Here’s five to start:
Colorado Flying Burrito Brothers
Mississippi Queen Mountain
Montana Frank Zappa
Blue Hawaii Elvis
Ohio CSN&Y
Sweet Home Alabama Lynyrd Skynyrd
The Devil Went Down to Georgia Charlie Daniels
Nebraska - Springsteen
Hotel California Eagles
California, NY - every damn song
Sufjan did two albums (Michigan & Illinois), almost completely about those states and with the state name in at least one song title.
Sweet Georgia Brown (aka the Globetrotters song) not rock I guess. The Devil… is the only other one I can think of, which I guess does
Red House Painters - New Jersey
Alabama Song (Whisky Bar) - as covered by the Doors
*Montana * - Frank Zappa
Massachusetts: The Bee Gees
Jim Dean of Indiana: Phils Ochs, although maybe more folk than rock
In the OP.
Arizona by Mark Lindsay. It’s about a woman named “Arizona,” but the OP didn’t say the song had to be about the state.
Massachusetts by the Bee Gees
Indiana Wants Me R. Dean Taylor
“The Three Great Alabama Icons”- Drive-By Truckers
“The Boys from Alabama”- Drive-By Truckers
“Alabama”- Neil Young
“Alabama”- Cross Canadian Ragweed
Kentucky Woman by Neil Diamond
Louisiana 1927 by Randy Newman
Texas Flood by Stevie Ray Vaughan
Kansas City by Wilbert Harrison
Virginia Moon by Foo Fighters
Jersey Girl by Tom Waits
Arizona (about the state) by the Dutch band the Buffoons.
California Dreaming
Georgia On My Mind
Rainy Night in Georgia
Midnight Train to Georgia
Colorado Rocky Mountain High --John Denver
New York State of Mind -----Billy Joel
The night the lights went out in Georgia.
Indiana by a local guitarist who played in bars there and put out a couple record albums in the 1980s
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hmmm…so far, we’ve had more mentions of Georgia and Alabama than any other states.
It would be neat if somebody could keep track of which state wins.
(Maybe even start a game thread : Post song titles , one for each state , in alphabetical order.Could you get 50 posts? Has anybody ever written a song about North Dakota? Delaware? The State of Rhode Island and Providence Plantations ? 
)
By The Time I Get To Arizona - Public Enemy
(Hey, it’s more rockin’ than John Denver or Phil Ochs…)
Kansas City, Muddy Waters. Well, Kansas is a state too.
The Tennessee Waltz
Private Idaho by the B-52s
I thought of Pennsylvania 6-5000 (Glenn Miller and His Orchestra) and Our Delaware (the official song of the state of Delaware).
Then I realized we were looking for rock songs. I’l get back to you.
Indiana Wants Me by R. Dean Taylor
It Never Rains in Southern California by Albert Hammond