Save states recently improved a lot in Dolphin, but they're not much reliable. If you can't load your savestate anymore and hadn't done an in-game save, then you're screwed and have to start the game again. As general note, if the game offer in-game save, always use that before save states...
Avell A70 MOB: Core i7-11800H, GeForce RTX 3060, 16 GB DDR4-3200, Windows 11 (Insider Preview)
ASRock Z97M OC Formula: Pentium G3258, GeForce GT 440, 16 GB DDR3-1600, Windows 10 (22H2)
ASRock Z97M OC Formula: Pentium G3258, GeForce GT 440, 16 GB DDR3-1600, Windows 10 (22H2)