IIRC California[1] ruled that if you were an Amazon Affiliate living in California, then that constituted Amazon having a "Nexus" in the state which would make them liable for sales taxes on all their Californian sales. Rather than have to add sales tax to all their Californian sales, Amazon chose to eliminate all their Californian resident Amazon Affiliates. No doubt the same applies to a number of other states, but I haven’t kept up with the details.

So it’s not really "my state doesn’t allow Amazon Affiliates", more "Amazon took a business decision to not have Amazon Affiliates in my state".

[1] Maybe it was another state, but the principle remains the same.