What state are you referring here?
Is it the Issue Status? If you have the JIRA Admin rights, you can add Issue Statuses in the "Administrations > Issue Attributes > Statuses". Alternatively, you can add statuses if you are using the JIRA Agile Simple Workflow https://confluence.atlassian.com/agile/jira-agile-user-s-guide/configuring-a-board/configuring-columns/using-jira-agile-simplified-workflow
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