This list notes the first regular season Major League game played in each state (US, Mexico, Australia), province (Canada), prefecture (Japan) or Commonwealth (Puerto Rico). All divisions are American states unless otherwise noted.
For the purpose of this list, I am counting the National Association (1871-75) and Union Association (1884) as a major leagues. By including the UA, we are able to have Delaware appear on this list. All information is taken from Retrosheet.org. Information included for each entry is the state, date, score, ballpark, city and league.
Arizona: March 31, 1998; Colorado Rockies 9, Arizona Diamondbacks 2 at Bank One Ballpark, Phoenix (NL)
California: April 15, 1958; San Francisco Giants 8, Brooklyn Dodgers 0 at Seals Stadium, San Francisco (NL)
Colorado: April 9, 1993; Colorado Rockies 11, Montreal Expos 4 at Mile High Stadium, Denver (NL)
Connecticut: May 2, 1872; Middletown Mansfields 8, Brooklyn Atlantics 2 at Mansfield Club Grounds, Mansfield (NA)
Delaware: September 2, 1884; Wilmington Quicksteps 3, Cincinnati Outlaw Reds 2 at Union Street Park, Wilmington (UA)
District of Columbia: May 5, 1871; Boston Red Stockings 20, Washington Olympics 18 at Olympic Grounds, Washington (NA)
Florida: April 5, 1993; Florida Marlins 6, Los Angeles Dodgers 3 at Joe Robbie Stadium, Miami Gardens (NL)
Georgia: April 12, 1966; Pittsburgh Pirates 3, Atlanta Braves 2 at Atlanta Stadium, Atlanta (NL)
Hawaii: April 19, 1997; St. Louis Cardinals 1, San Diego Padres 0 at Aloha Stadium, Honlulolo (NL) – First game of a doubleheader
Illinois: May 6, 1871; Cleveland Forest Citys 12, Rockford Forest Citys 4 at Agricultural Society Fair Grounds, Rockford (NA)
Indiana: May 4, 1871; Fort Wayne Kekiongas 2, Cleveland Forest Citys 0 at Grand Duchess, Fort Wayne (NA)
Iowa: May 4, 1975; Chicago White Stockings 15, Keokuk Westerns 1 at Perry Park, Keokuk (NA)
Kentucky: September 21, 1875; Philadelphia White Stockings 13, Hartford Dark Blues 9 at Covington (NA)
Maryland: July 8, 1871; Washington Olympics 15, Fort Wayne Kekiongas 7 at Madison Avenue Grounds, Baltimore (NA)
Massachusetts: May 16, 1871; Troy Haymakers 29, Boston Red Stockings 14 at South End Grounds, Boston (NA)
Michigan: May 2, 1881; Buffalo Bisons 6, Detroit Wolverines 5 at Recreation Park, Detroit (NL)
Minnesota: April 21, 1961; Washington Senators 5, Minnesota Twins 3 at Metropolitan Stadium, Bloomington (AL)
Missouri: May 4, 1875; St. Louis Brown Stockings 15, St. Louis Reds 9 at Red Stocking Baseball Park, St. Louis (NA)
Nevada: April 1, 1996; Toronto Blue Jays 9, Oakland Athletics 6 at Cashman Field, Las Vegas (AL)
New Jersey: April 28, 1873; Philadelphia White Stockings 23, Elizabeth Resolutes 5 at Waverly Fairgrounds, Elizabeth (NA)
New South Wales (Australia): March 22, 2014; Los Angeles Dodgers 3, Arizona Diamondbacks 2 at Sydney Cricket Ground, Sydney (NL)
New York: May 9, 1871; Boston Red Stockings 9, Troy Haymakers 5 at Haymakers’ Grounds, Troy (NA)
Nuevo Leon (Mexico): August 16, 1996; San Diego Padres 15, New York Mets 10 at Estadio Monterrey (NL)
Ohio: May 8, 1871; Chicago White Stockings 14, Cleveland Forest Citys 12 at Lake Front Park, Cleveland (NA)
Ontario (Canada): April 7, 1977; Toronto Blue Jays 9, Chicago White Sox 5 at Exhibition Stadium, Toronto (AL)
Pennsylvania: June 3, 1871; Philadelphia Athletics 15, Troy Haymakers 5 at Jefferson Street Grounds, Philadelphia (NA)
Puerto Rico (US Commonwealth): April 1, 2001; Toronto Blue Jays 8, Texas Rangers 1 at Estadio Hiram Bithorn, San Juan
Quebec (Canada): April 14, 1969; Montreal Expos 8, St. Louis Cardinals 7 at Parc Jarry. Montreal (AA)
Rhode Island: June 12, 1875; New Haven Elm Citys 3, Hartford Dark Blues 2 at Adelaide Avenue Grounds, Providence (NA)
Texas: April 10, 1962; Houston Colt .45s 11, Chicago Cubs 2 at Colt Stadium, Houston (NL)
Tokyo (Japan): March 29, 2000; Chicago Cubs 5, New York Mets 3 at Tokyo Dome, Tokyo (NL)
Virginia: April 29, 1875; Boston Red Stockings 22, Washington Nationals 5 at Richmond Fair Grounds, Richmond (NA)
Washington: April 11, 1969: Seattle Pilots 7, Chicago White Sox 0 at Sick’s Stadium, Seattle (AL)
West Virginia: September 22, 1890; New York Giants 8, Pittsburgh Alleghenys 3 at Island Grounds, Wheeling (NL)
Wisconsin: May 14, 1878; Milwaukee Grays 8, Cincinnati Reds 5 at Eclipse Park, Milwaukee (NL)
MLB regular season games have been played in 28 US states (plus DC), 2 Canadian provinces, 1 US Commonwealth, 1 Japanese prefecture and 1 Australian state.
The first games in Virginia, Rhode Island, Maryland and Kentucky were neutral site games involving two out of state clubs but these states would later get teams of their own.
The only games in Hawaii, Nevada and West Virgina involved out of state clubs playing at a neutral site. As is the case with the games outside of the US/Canada (Mexico, Puerto Rico, Japan and Australia).