You have got it mostly there. I can see two problems that would prevent this from working correctly. The first issue is that you have this second recordset and the set session value code on this checkout page. This does not work because the checkout form is posting to the confirm page. You will need to move this recordset and set session code to the confirm page.
The other issue that I can see is how you are filtering the value for the recordset, you are filtering it on:
This is not the name of your select list though, the list is name state_province. So the filtered value you are using for the rs will need to be updated to be this state_province value instead. After you make these updates run through a test and let us know the result.