Lola and I were listing states by initial letter (turns out "M" wins at 8), and I was disappointed at how poor our coverage of the alphabet was. I thought we could maybe annex Canada to add a Q state, but turns out Mexico is much more helpful. It not only gives us a Q (Querétaro and Quintana Roo), it also covers B (Baja California and Baja California Sur), J (Jalisco), Y (Yucatán), and Z (Zacatecas).
The only holes left are E and X. We could admit El Salvador as a state, but we couldn't find any states or provinces in the Americas starting with X. Well, it turns out that that the Yucatan has lots of X locations, including one of its "municipalities".
So here's the simple plan for complete alphabetic coverage: we annex Mexico and keep all the states the same except Yucatan, which we divide up into three states: Espita, Xocchel, and Yaxcabá. Lola even prepared a map of the three new states!
Interesting trivia: Mexico is the only country besides the US of A which currently calls itself "United States of X".