I started this stuff about the French language, so I need to post this follow-up.
I cannot find what the French think of Vermont, but I think it's most likely masculine. Larousse, a French dictionary as authoritative as Merriam-Webster for English, says that Maryland is masculine. I cannot find explicit definitions for other place names, but other well-known and popular words are easy and I did not even have to look them up. For example, the US and Canada are masculine, while Australia, Africa, and Asia are feminine.
Why the above? A simple rule of thumb I remember is that nouns that end in the letter e are usually feminine.
America - Amérique (f)
United States - États-Unis (m)
Africa - Afrique (f)
Asia - Asie (f)
Europe - Europe (f)
Australia - Australie (f)
Canada - Canada (m)
New-Zealand - Nouvelle-Zélande (f)
For other tougher words, such as love, amour (m), or friendship, amitié (f), one just has to remember it. It is said that French children hear a word used once, then they remember its gender. It is that natural to them.