Conversation states in Bots are like a blob of json that represents some dynamic objects you and the frameworks have created throughout the conversation.
I dived into researching a few different ways of persisting the database. The one I found I was most comfortable with was a good'ol relational database. Later I'll add a dashboard and other features that will need this capability so it made more sense than a noSQL store. Nice thing about SQL is that the whole state can be stored in single columns with just the keys around it.
The Bot Framework community has developed a library that made this easier to setup and implement.