I'm going to guess Connecticut, because I recall something about a New Haven chocolatier "discovering" lollipops with chocolate, and the idea evolving to use with hard candies. (mmm...chocolate lollipops...!)
Though, if you listen to the side of my family from Wisconsin, an 'east coast' candymaker called upon a WI company to create a lollipop making machine, so they consider WI to be the home of the lollipop <img src="/images/graemlins/wink.gif" alt="" />