I don't know how the save state ties into it, but due to the numerous and vast amount of problems they have, I never use them, and never will.
For this, have you tried completely deleting everything in the memcards folder? The emulator should automatically create two new files called epsxe000.mcr and epsxe001.mcr if they aren't already there (that's what they're listed as in mine anyway). Just try starting the game anew and saving at first chance. Quit the emulator, and try to load from that save. If it is there, then you know the savestate is the problem.
For this, have you tried completely deleting everything in the memcards folder? The emulator should automatically create two new files called epsxe000.mcr and epsxe001.mcr if they aren't already there (that's what they're listed as in mine anyway). Just try starting the game anew and saving at first chance. Quit the emulator, and try to load from that save. If it is there, then you know the savestate is the problem.