How to jump to other state (eg state #B) and join a new alliance there at new state, if I quit my current..

If you are a new account (under level 6 and less than 10 days i think) you can move to any state.

If you are above level 10 and in a state that has the state immigration event active (states 1-179 at present I believe) then you can move by paying money for one of more tokens. You may need more depending on your power level. Check the 'State Immigration' event under the events menu.

When you arrive simply join the new alliance.