Well, there are opcodes that aren't documented instructions. The 8086 doesn't trap on bad opcodes, so it will execute them and do something. I'm not sure if that's what you mean by "an undefined state". I think the undocumented 8086 instructions are all deterministic, as opposed to the 6502 where the results can depend on bus fluctuations.
On 6502 some of the undefined opcodes (usually named KIL) put the chip into an state where it no longer executes any instructions and doesn't respond to interrupts either. And such state isn't reachable via documented instructions. Maybe that kind of 'state' was meant?
If I remember correctly, that's because the decode PLA which takes opcode + current cycle number (one-hot signal) has a bit that indicates "last cycle" which resets the logic to check for interrupts and begin a new instruction cycle, and for the unused entries it isn't set in any cycle, so the cycle counter "runs off the end" and there's no more active bit to continue execution.
On the 8086, the microcode counter would eventually roll over and reach a "next instruction" bit even if it went into a normally unreachable part, so I don't think that such a state is possible.
