VBA to Split Records For 3 set of Unique Values in column P:P as new workbook to path

One way

Const adFilterNone As Long = 0
Const adUseClient As Long = 3
Const adOpenForwardOnly As Long = 0
Const adLockReadOnly As Long = 1
Const adCmdText As Long = 1
Public Function RecordSetFromSheet(sheetName As String)

 Dim oRs As Object
 Dim oCnn As Object
 Dim oCmd As Object

    'setup the connection
    '[HDR=Yes] means the Field names are in the first row
    Set oCnn = CreateObject("ADODB.Connection")
    With oCnn
        .Provider = "Microsoft.ACE.OLEDB.12.0"
        .ConnectionString = "Data Source='" & ThisWorkbook.FullName & "'; " & "Extended Properties='Excel 12.0;HDR=Yes;IMEX=1'"
        .Open
    End With

    'setup the command
    Set oCmd = CreateObject("ADODB.Command")
    Set oCmd.ActiveConnection = oCnn
    With oCmd
        .CommandType = adCmdText
        .CommandText = "SELECT * FROM [" & sheetName & "$]"
    End With
    Set oRs = CreateObject("ADODB.Recordset")
    With oRs
        .CursorLocation = adUseClient
        .CursorType = adOpenForwardOnly
        .LockType = adLockReadOnly
        .Open oCmd
    End With
    'disconnect the recordset
    Set oRs.ActiveConnection = Nothing

    'cleanup
    If CBool(oCmd.State And adStateOpen) = True Then
        Set oCmd = Nothing
    End If

    If CBool(oCnn.State And adStateOpen) = True Then oCnn.Close
    Set oCnn = Nothing

    '"return" the recordset object
    Set RecordSetFromSheet = oRs

End Function

Public Sub Test()
 
 Dim oRsData As Object
 Dim fld, arrFields
 Dim i As Long
 
 Set oRsData = RecordSetFromSheet("Master")
 ReDim arrFields(1 To 1, 1 To oRsData.Fields.Count)
 For Each fld In oRsData.Fields
    i = i + 1
    arrFields(1, i) = fld.Name
 Next
 
 With Application
    .ScreenUpdating = False
    .DisplayAlerts = False
    .StatusBar = "Creating file: Report - AZ_CA_FL_MIS"
     With Workbooks.Add
        With oRsData
            .Filter = "[StateCode]='AZ' or [StateCode]='CA' or [StateCode]='FL'"
            With Range("A1")
                .Resize(, UBound(arrFields, 2)) = arrFields
                .Offset(1).CopyFromRecordset oRsData
            End With
            .Filter = adFilterNone
        End With
        .SaveAs ThisWorkbook.Path & "\Report - AZ_CA_FL_MIS", xlExcel12
        .Close
     End With
    
     .StatusBar = "Creating file: Report - GA_HI_MIS"
     With Workbooks.Add
        With oRsData
            .Filter = "[StateCode]='GA' or [StateCode]='HI'"
            With Range("A1")
                .Resize(, UBound(arrFields, 2)) = arrFields
                .Offset(1).CopyFromRecordset oRsData
            End With
            .Filter = adFilterNone
        End With
        .SaveAs ThisWorkbook.Path & "\Report - GA_HI_MIS", xlExcel12
        .Close
     End With
    
     .StatusBar = "Creating file: Report - NY_NJ_NM_MIS"
     With Workbooks.Add
        With oRsData
            .Filter = "[StateCode]='NY' or [StateCode]='NJ' or [StateCode]='NM'"
            With Range("A1")
                .Resize(, UBound(arrFields, 2)) = arrFields
                .Offset(1).CopyFromRecordset oRsData
            End With
            .Filter = adFilterNone
        End With
        .SaveAs ThisWorkbook.Path & "\Report - NY_NJ_NM_MIS", xlExcel12
        .Close
     End With
    
     .StatusBar = "Creating file: Report - MS_NH_TX_MIS"
     With Workbooks.Add
        With oRsData
            .Filter = "[StateCode]='MS' or [StateCode]='NH' or [StateCode]='TX'"
            With Range("A1")
                .Resize(, UBound(arrFields, 2)) = arrFields
                .Offset(1).CopyFromRecordset oRsData
            End With
            .Filter = adFilterNone
        End With
        .SaveAs ThisWorkbook.Path & "\Report - MS_NH_TX_MIS", xlExcel12
        .Close
     End With
    .DisplayAlerts = True
    .ScreenUpdating = True
    .StatusBar = False
 End With
 Set oRsData = Nothing
 MsgBox "Files Created Successful!", vbInformation
End Sub

Thanks sir for Code I used to have state code more than 50 unique list any alternative code to avoid state code assign in filter record set manually! is there way to make it simple so as to avoid manual work?

Yes sir it works till first 3 state code copy to newworkbook please check code with workbook!!