OK - I got it. If anyone have the same need here it is.

In filesyste:
Go to .../all/modules/ubercart/store/countries and modify the "united_states_840_1.cif file. Backup this file since you may need it later. Open the file with a text editor and delete all the lines that you don't want to appear in the States list. Save the file with the original name.

In Drupal:
Go to "Administr/Store Administration/Configuration/Country Settings" and select the Edit tab. If you already have the United States there, remove it. Then, select from the list "united_states_840_1.cif" and press the Import button. You can now check the list of states in your Checkout form.

Hope it helps.