Here's an example for the United States:
You should make sure Mathematica is signed in with your Wolfram ID. Also, you should run this command to make sure you have the latest data.
ResourceUpdate["Epidemic Data for Novel Coronavirus COVID-19"];
ResourceData["Epidemic Data for Novel Coronavirus COVID-19"][
Select[MemberQ[{Entity["Country", "UnitedStates"]}, #Country] && !
FreeQ[#AdministrativeDivision, _Missing] &]]