Customs and border control is a federal agency. States do not control their own borders.

If you have to interact with the federal government, it is generally safer to go to offices in accepting areas, because despite federal control, offices are staffed by locals. For safety, check in with locals and vet your social security office before arrival.

However Canadians cannot do this by selecting their destination. When flying to the US, the customs check takes place in the foreign airport. They call it pre-clearence. Every major Canadian airport has pre-clearence, so your passport will be checked by customs agents, specifically selected for a foreign deployment. Upon the return trip the federal tsa will check your passport again before the flight.

My advice for travelers to the US is do not. Go literally anywhere else, or stay home. But if you have to, I would consider a land crossing, because in that case you only pass through a federal check one time upon arrival. But regardless check with local communities to ensure the federal agents you interact with are the least bad possible.