Hi,
to import the content of your tables to Kentico you can use
Import Toolkit. It will map content of your old tables to new in Kentico.
Before you import the content you will need to define
custom tables in Kentico. To create a relation you can define one field (Step 3) of dropdown list type. For dropdown list you can create a query (by checking
SQL Query (it must return value and text fields) option) so in the field will be stored requested ID.
The Country selector is already created in Kentico, so you would not define the drop down list, but the ID would not match definition of your State table.
I hope that description makes sense.
Best regards,
Ivana Tomanickova