Step 1: Understand the question.
We need the US state where the IIT Madras Global Research Foundation set up its first US centre.
Step 2: Identify it.
The first US centre was set up in California.
Step 3: Why California.
California hosts Silicon Valley, with its tech firms, venture capital and research labs. This makes it ideal for deep-tech partnerships.
Step 4: Rule out others.
Massachusetts has the Boston and MIT hubs, and Texas has tech clusters, but the foundation chose California as its first US base.
Step 5: Conclude.
The first US centre is in California.
Answer: California