Washington D.C. is the capital of the United States. Since Washington DC is not really considered a city or a state, it is not actually in one state, but it is located on the border of two states instead. This way no one can say that the country’s capital is located in a certain state. Washington DC is not a city, but it is a federal district. The District of Columbia lies on the border of Maryland and Virginia.
Of course, since this place is so large, many of the different buildings look like they are located in either one state or the other since all of the buildings can lie directly on the border. However, the area that includes all of these buildings are located in Washington DC which is not located on any state.