Were states to implement such systems at the state level, I fully expect the smaller states to consolidate and form alliances of their welfare systems so as to achieve economies of scale faster.
My hypothetical was for them to socialize it with a shared single-payer system. Think about it this way: all of the small states in New England decide to create a government run insurance (like Denmark) by pooling all of their taxpayers.
An exchange would be more like a multi-payer system rather than a single-payer system.