I've seen a few of these kinds of "horror maps" in the past; however, this one seems to be the most detailed in terms of including several entries (rather than just one) for each state! It's pretty radical. Check it out here:
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For those not in the know, I currently reside in Michigan. As such, I was attempting to think of a few additional films set in the state not included on the list. The two that came to mind were both from 1995: Mosquito and Wendigo (aka Frostbiter)! I'm certain that Mosquito was shot entirely in Michigan; however, I can't entirely recall whether it took place there as well.
At any rate, which films represent your state?
Credit goes to Andrew Brick of of Horror On Screen for creating this awesome map. Check the original here.