In "Full Metal Jacket," Gunnery Sergeant Hartman uses the line on Private Cowboy, from Texas.
In "An Officer and a Gentleman," Gunnery Sergeant Foley first uses the line on a character, portrayed by David Keith, from Oklahoma. Then, at the end of the movie, Richard Gere passes by Sgt. Foley using the same line on a new recruit from Arizona.
All three states can be considered valid for the line.