When I was in Europe as a student, everybody wanted to know what state I was from, so I got used to answering that way. Surprisingly, everybody seemed to know all the U.S. states, and had pretty strong mental associations with a lot of them. I'm from Texas, and to them, that meant horses and cowboys and George Strait and "howdy, y'all!"
Really, that's all of New England - New York, Connecticut, Massachusetts, Vermont, New Hampshire, Rhode Island, maybe parts of Pennsylvania depending on who you talk to.