No, all states do not allow this, and the general rules is that you must use the same filing status on the federal return and the state returns. However, both RI and MA do allow a different filing status than what is used on the federal return, under certain circumstances.
See the Rhode Island instructions, page 1, for specific instructions. http://www.tax.ri.gov/forms/2015/Income/2015%20Resident%20Instructions_12052015.pdf
Also, see the Massachusetts general rules here for more info: http://www.mass.gov/dor/individuals/filing-and-payment-information/guide-to-personal-income-tax/fili...
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