Populations...
Tennessee at 7.1M purchased 8.8% of its population.
Missouri at 6.2M purchased 8.4%.
Virginia at 8.7M purchased 6.7%.
Pennsylvania at 12.9M purchased 6.6%.
These 4 states stand out as having above 6%. Texas was below 5% and California below 3%.
However, it is important to note this list is probably based on number of background checks. In some states the CHL exempts purchasers from a NICS check. Ohio, Texas, South Carolina are examples where the most engaged population (CCW) is probably not showing up on NICS checks.
Of the states listed above 6%, none of them have a CHL that exempts buyers from NICS (
Link). Thus, we can probably guess there are other states with similar or even higher rates of purchases. Guessing Ohio and Texas would be much more competitive.
ETA:
Check out the ATF's data on NFA registrations. (
ATF link). Virginia has almost 4 times as many freedom lovers as Missouri. Texas has 10 times.