So uh, interesting finding today. Apparently not all romhacks will work with the save state tool. Tried out the SMWCentral 9th Annual Level Design Contest one on Canoe. While it otherwise works great, there are two issues with it. Loading from a save state glitches you into the level to and causes all sorts of weird things to happen. First couple of times it glitched me into a pipe, and when I walked out of it I fell through the ground and died. The final time, I tried to load a separate save state, and it was as if Mario stepped on a Switch in a Switch Palace, immediately ending the same level where I previously fell through the ground. The level completed and yellow boxes shot out from my character on the map screen. tldr the save state tool either saves or loads this data incorrectly.
Rewind also does not work on this game. It loads a frozen game and also corrupts/deletes your save data. Either way upon resetting Canoe loaded the game as if it were the first time I had played it.
However, save states work just fine with SMW2+ by Golden Yoshi. This has to be run using Retroarch even though its base game is Yoshi's Island. No idea why, but retroarch usage could be related to the save states working. More testing needed.
All this to say... Your Mileage May Vary(tm)