Hi olantz,
Welcome to Apple Support Communities. I understand that you're being notified of an attempted sign-in with your Apple ID from a location in a different state, that you don't recognize. I see that you've declined these requests to sign in and would like to know if you should change your Apple ID password. I know how important it is to be sure your account is secure; I'd like to provide some information. First, regarding the sign-in notifications you're receiving, check out the information below:
What if I don’t recognize the location shown in my sign in notification?
When you sign in on a new device, you’ll get a notification on your other trusted devices that includes a map showing the approximate location of the new device. This is an approximate location based on the IP address the device is currently using, rather than the exact location of the device. The location shown might reflect the network you're connected to, and not your physical location.
If you know you’re the person trying to sign in but you don’t recognize the location shown, you can still tap Allow and continue signing in.
However, if you ever see a notification that your Apple ID is being used to sign in on a new device and you're not the one signing in, tap Don’t Allow to ensure the sign in attempt is blocked.
Two-factor authentication for Apple ID
Based on the information above regarding the sign-in location, if it's not you or someone you know attempting to sign in with your Apple ID, you can use the steps below to change your Apple ID password and update it across your devices:
Change your Apple ID password
What to do after you change your Apple ID or password
Best Regards.