Step 1: Recall which state's name is tied to India's biggest chilli trading market. The Guntur chilli yard in Andhra Pradesh is known as Asia's largest chilli market, which only makes sense if the surrounding state grows chilli on a very large scale.
Step 2: Madhya Pradesh, West Bengal and Rajasthan grow chilli too, but none of them matches the scale of cultivation seen in Andhra Pradesh.
Step 3: Matching the crop to its known trading hub confirms the state. \[\boxed{\text{Andhra Pradesh}}\]