Yes, we have that option in our shipping rules settings. If you go to Seller Admin > Shipping Calculation and scroll to the very bottom of the screen to the section on shipping rules yo can create a rule that uses "Pickup" as it shipping calculation method, which will automatically be free of cost. There is also a section to write a short description of this option as the "Shipping Method Label" which will be displayed in your shopping cart if there are other rates to choose from. You'll also want to use the Destination Country method to select your country and then the specific state that this option is available in. You can create two rules like this if there are two possible states where pickup can be made... unfortunately we can't get more specific than state in these settings.
If you create these rules bear in mind that they will show up exclusively in those two states in place of any other more general shipping settings you may already have. If you also want to keep a paid shipping option available in those states be sure to make rules for them that specifically apply to the same Country/State settings so that they will be considered an alternate option to show in the cart.