That's not a requirement, a requirement would be that you would provide them the functionality to "find a state for a given zip code". How you implement this requirement should be the best technical solution so rather than let them dictate how you do it (after all if they do that they may as well do the work) tell them what is the best solution and document why if needs be. Holding this entire dataset in memory, probably isn't the best solution by the way.
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