1. Select Analysis > Create Calculated Field
2. Name the calculation grandtotal.
3. Enter the following formula, then click OK:
   IF SIZE() = 1 THEN ATTR({FIXED Country : SUM([Sales])})
ELSE SUM([Sales])
END 
4. Place State on Rows 
5. Place grandtotal on Text
6. Right-click State and select Show Filter
7.  Select Analysis > Totals >  Show Column Grand Totals

You can now filter on State, while keeping the grand total the same. To view these steps in action, see the video below:
Note: the video has no sound