Ok, was able to put together a similar situation. There isn't a way to hide an empty select field like that. The best I can suggest is under Global add the following option.

Value: none
Label: None

I'm working on a cleaner solution for this. First I'm improving CB Query Field and all of its Query Select field types to turn off required validation and to hide the fields row if there are no options available at all (either from the query or specified under Global; field must be totally empty for this behavior). Next I'm adding an option to CB Core Fields Ajax to not display empty Update On results (default is to always display them).

The end result will be the State field will only be visible if it has something to select and it will only validate if there is something to select.

Ok, the above behavior is now implemented in latest CB Query Field and CB Code Field build releases for their select fieldtypes. A CB Core Fields Ajax build release is also available adding the new "Display Empty Update On" parameter and when set to Disable will suppress the display of the empty fields if the Update On response is empty.

All you should need to do once you've updated both CB Query Field and CB Core Fields Ajax is remove any hardcoded options under the Global tab then under CB Core Fields Ajax integration parameters set "Display Empty Update On" to Disable. This should give you the desired behavior of suppressing State entirely if there's nothing to select (e.g. country has no states). It will automatically handle toggling Required state and skipping validation as well if there's nothing to select.