Well although I do concede that most if not all of those Mexican States are named after the cities I still think that the State should have priority since a Politically and geographically is more important b They will be linked way more often than the cities To illustrate my point lets take the State of Oaxaca We will need a link to the state in every single municipality Oaxaca has  in every single river that passes by in every single lake lagoon dam forest desert valley plateau mountain cave indigenous group highway bridge volcano beach port island Even in biographies governors senators people that fought battles there colonized   Keep in mind that most of us do not advocate the application of the North American convention to Mexican cities City State so whenever we want to be more specific we make links like Xyz Oaxaca not Xyz Oaxaca state By giving priority to the States we could type less and have fewer links to fix in those articles made by visitors newbies or people not familiar with the country most wikipedians If someone says that Jos Vasconcelos was born in Oaxaca but links to the state instead of the city she is still OK not as precise as she intended to be but shes still correct But if someone says that the cave of Guil Naquitz is in Oaxaca and points to the city instead of the State she is plain wrong  Cheers