It has to be in a folder called Resources (obviously also under Assets somehwere) and then the above should work.
However, please use this format of the line 2 above:
State jumpToState = Resources.Load<State>( "11");
because it will guard against Unity asset ordering inconsistencies that might trip you up, i.e, if you have a texture or material in that same directory called 11.png or 11.mat, the way it was originally written may return the wrong object.
BTW, hearing of you making a text adventure in Unity3D here in 2019 really made me smile. I grew up with all the Infocom early stuff, so I just wanna say, “Cool!”
In other news, you oughta post a link here on the forums (there’s a show-off group separate from this group) when you get your first playable going!