You may notice that Yelp search box for location only allows for city searching. Therefore, if you want to scrape data of the whole state, you can first create a text list including all the cities in the state, and then use the text list to find corresponding URLs on Yelp. Check this tutorial for details Text/keyword input (You may check the section of "Input multiple keywords").
We also have built-in task template for Yelp so that you can get data in minutes.
Let me know if this solution is good for you.
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