Automatic Page to Page Navigation in a single report

As you have seen, clicking on a specific data area in a visual (e.g. sate or city in a map) will allow you to either highlight or filter the data shown on that page but there is Power BI no support in Power BI to translate that click into a nvaigation action.

The way to add easy and intutive page navigation in a Power BI report is to create bookmakrs and then add button which allows a user to click the button to apply the bookmark.

You could layer button with bookmarks on top of a map to achive the effect you want, but it doesn't seem like an elegant solution. My guess is that you would have th develop a custom Power BI visual to scheive this effect. However, this seems like it is way more invovled than what you are looking for.

My recomendation would be to go back to a design with drillthrogh pages which means you need to spend more time educating users and convining them that right-clicking a state and selecting a drill through page willl give them what they want.