If you are going to store additional information about each city and/or State, such as demographics, or date of last survey, or whatever, then these represent distinct informational entities and should be split out into separate tables.
If you want to ensure consistent spelling of city or State names across the database, to prevent people from entering "Minnesota" and "Minesota", or both "St Paul" and "St. Paul", or you want to prevent people from entering "Indianapolis, Nebraska", then you need to split these out into separate tables to ensure data integrity.
Otherwise, leave them as attributes of the Custom, Bank, or Company.