If you have access to Expression Studio (in particular, Expression Design), creating maps as vector images is quite simple. Xaml poly paths are also relatively efficient for storage and maintenance compared to images.
You import the map as a background image and use the Pen tool for point-to-point tracing throughout the country. Combine all of these path segments into one path. Then create a separate poly path for each state (close them to allow filling).
It will take several hours to build it all (I know that I did it for the selector of the world map country ... it took 4-5 hours for one polygon indicated below):

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