Well, in order to answer that question, we have to pose another: what factor should determine the first state. For the sake of this link, the assumption will be “It should be the state which best reflects America.”
You may supply other criteria, of course, but let’s go with this one for now in order to evaluate which state best meets that particular criterion, since the media chatter for two weeks or more has centered around the fact that Iowa and New Hampshire are not representative of America.
So. If you were a marketing company testing a new product for a possible national roll-out, which state would be the test market most suitable to best estimate your product’s success in the full USA?
The answer supplied by this firm in 2016 was Illinois. It contains the correct proportion of midwestern farms, urban concentrations, rich suburbs and small towns. It contains approximately the correct proportion of whites, blacks, Latinos, and Asians, all in the approximately representative proportion of religions. It contains the proper proportion of elite universities, graduates from functional colleges, people with some college, high school grads and high school drop-outs. It contains the right mix of liberals, moderates and conservatives. It contains the right mix of income levels. Given all of those factors, campaigning in Illinois does not allow for pandering to small town and rural White America, as the candidates do in Iowa and New Hampshire, but the mix in Illinois also precludes pandering to any other groups. Any position taken there must either appeal across-the-board to one’s party base, or must be a calculated risk, just as in the whole of America.
The film which did this study compared dozens of factors in each state to national averages, then distilled all of those specifics down to five general categories. Illinois finishes among the top six best matches in all five categories, and is the absolute best match in demographic and income factors.
In contrast: New Hampshire is one of the states least representative of America (nearby Vermont is the least typical state), and Iowa is somewhere in the middle.