Hi Hoang, welcome to the Community and congrats on your learning journey with commercetools! You came to the right place. 
Let’s get the experts on the case: @Mariusz Janas, this seems to be your area of expertise, could you give us a hand? 
Thank you for tagging me @Lily 
@Hoang , you are correct, this cannot be done using the Merchant Center. Creating Zones for regions/states within a Country is currently only supported via the HTTP API. As you can see in the documentation when submitting a ZoneDraft, you can specify a list of locations which can optionally include states.
I hope this helps to clear things up 
Feel free to reach out if you have any further questions or doubts.
Thank you for tagging me @Lily 
@Hoang , you are correct, this cannot be done using the Merchant Center. Creating Zones for regions/states within a Country is currently only supported via the HTTP API. As you can see in the documentation when submitting a ZoneDraft, you can specify a list of locations which can optionally include states.
I hope this helps to clear things up 
Feel free to reach out if you have any further questions or doubts.
Thank you Mariuz, you are a star! Hope you are doing well!
Thank @Lily and @Mariusz Janas for your support. It clear for me now.
Thank @Lily and @Mariusz Janas for your support. It clear for me now.
No problem, we are happy to help. 