Since you mentioned map, here we have one example that demonstrates the same scenario using RadMap that visually shows the states and districts.
Back to the TreeMap, currently it doesn't support drill down out of the box. You can create one yourself by using the selection functionality demonstrated here. Here is one idea: At first you can load all the states and show them in the RadPivotMap using only 1 group definition. When you click on a state you can get all the districts in that state in your code behind and change the ItemsSource and the group definition of the treemap. Going up can be done using the same approach.
You can find information on data binding the RadPivotMap in this topic in our online help system.
the Telerik team