### Clue: Following one day in city, in a terrible state (9)
### Answer: LITHUANIA 
 ### Explanation: Definition: state
 [I(Roman numeral for "one") + THU(abbrev. for the weekday, Thursday)] **contained in**(in) LA(abbrev. for the US city, Los Angeles) + **anagram of**(… terrible) IN A.
Defn: … in the Baltics.