What do you mean by a new player state?
Every objects (the player... or any other ones, even the monsters) have 8 Action Steps... representing their states or their actions...
The player is in action step 0 when he is idle, Action Step 1 when he's walking, Action Step 2 when he's jumping, Action Step 3 when he's attacking,...
So, make new animation(s) for example walking left and walking right.:
Then, in the Object details, you need to assigned those animations to an "animation Type": the "walking left" animation would be assigned to a "Walk" animation type for the left direction and the "walking right" animation to the right direction (for the same animation type):
And finally, use that "walk" animation type for your Action Step 1:
And only 8 Action Steps... can't have more than that.