Hi and welcome back!
Check the tribe_events_filter_values filter. You should create a conditional based on the filter slug, and then modify the filter value array (the-events-calendar-filter-bar/src/Tribe/Filter.php) line 186.
This might help, though in this case it’s just changing the array order, but the labels can be replaced.
An SQL query (make a backup before doing so!) would also do the trick, something along the lines of:
UPDATE wp_postmeta SET meta_value = REPLACE (meta_value, 'CT','Connecticut') WHERE meta_key LIKE '%_VenueState%';
I hope this helps and have a great evening. Cheers!