Hi,
In the vast majority of payment providers, the states are either not needed or optional. It's really rare that it is required, and when it is, it is only for the USA where states have a big meaning. I actually never seen a payment provider requiring the state for other countries that the USA.
We have the states field in the addresses mainly so that you can easily create manual shipping methods restricted per state.
So when there is no need for states we don't have any. Puerto Rico is not the only country without states in fact. Many "small" countries are the same as shipping is usually the same fee through the whole country in such case.
On top of that, Looking at wikipedia, I don't see any "state" in Puerto Rico. What there is are municipalities:
en.wikipedia.org/wiki/Municipalities_of_Puerto_Rico
That's akin to Municipalités here in France and it is basically the city influence area.
So it's more like counties than states.
I think it would be weird listing these for Puerto Rico when you already have the city field.
Now, maybe, as a local, you have another perspective on that. If so, please share it. I'm not necessarily against adding these municipalities if there can be some real use for them.