Lucian said (from this thread):

I realized that this "missing state 2 for b" problem is due to the double chop in HTK_Scripts/mkclscript.prl script, as instructed by the tutorial instructions.

After I change it back to a single "chop;" command, everything works.

This might occur if you are running the "HTK_Scripts/mkclscript.pl" script in Cygwin/Windows.

Ken