I believe, Graph Builder only allows one Map variable. However Supose you have a table of addresses and associated with each address is a zipcode, a county, the state and other pertinet information houshold type, political affiliation, employment status, etc.
Using Craig Hale's code to convert geo spatial info into shape files here is what I would do:
drag zipcode to the Map area
add graphic scripts to draw the state outine,
add a graphic script for each county outline
make a local graphics filter for zipcode, and county and state
I don't have such a file. I have a data table for the state of Nebrasks zipcode and population that I will use for demo purposes. As stated in other posts, zipcodes can cross county lines (ie not nested), so I cannot in all cases assign a zipcode to a county. But here are a couple of screen shots to show the feasibility. The light gray lines delineate zip codes, the black lines are counties and the thick line is the state outline.