How do I change the default state label for a country on the WooCommerce checkout page?

My reply might be late but,

Ive had a similar issue earlier so i used the woocommerce_default_address_fields instead.

add_filter( 'woocommerce_default_address_fields' ,'customize_checkout_fields' );
function customize_checkout_fields( $address_fields ) {

// Customizing city and state labels
$address_fields['city']['label'] = __('Just a City');
$address_fields['state']['label'] = __('Just a State');

return $address_fields;

}

Hope this works.