This is why we have a Supreme Court that rules whether or not a state law violates the constitution of the United States. This has been proven since its inception and continues to be proved regularly. see: same sex marriage. Any state that decided to pass a law stating that X religion is the religion of the state and has rights and privileges within the state that no other religion enjoys, would be struck down by SCOTUS as unconstitutional and you know it.
"The "Establishment Clause," stating that "Congress shall make no law respecting an establishment of religion," is generally read to prohibit the Federal government from establishing a national church ("religion") or excessively involving itself in religion, particularly to the benefit of one religion over another. Following the ratification of the Fourteenth Amendment to the United States Constitution and through the doctrine of incorporation, this restriction is held to be applicable to state governments as well."
see also the 14th Amendment