There is no pair of shape files for India states in Graph Builder. There is only the shape of the country. You can create custom shape files. See Help > Books > Essential Graphing > Chapter 15: Create Maps.
Alternatively, you can use a background map instead of a map shape, if it suits your purpose. This approach is described as:
Background Maps
You can add background maps to any JMP graph through the Set Background Map window. You can use built-in background maps or connect to a Web Map Service (WMS) to display specialty maps like satellite images, radar images, or roadways. Right-click in a graph and select Graph > Background Map to choose from the following images and boundaries:
• Simple Earth and Detailed Earth maps are installed with JMP.
• NASA server provides maps using a WMS to show their most up-to-date maps.
• Street Map Service provides street maps. The OpenStreetMap and Open Database License
links provide further information on the Street Map Service.
• Web Map Service lets you enter the URL for a website that provides maps using the WMS
protocol. You can also specify the map layer.
• Boundaries for various regions.