Python - loop through same query with different variables, merge data frames

I have a query in SAS where I use a Macro variable to repeat a query to Teradata with a different variable. We have 5 databases, one for each state, where I run the same query, but use the variable to update the state, then mend all data sets. I'm looking for help in how I can do this in python.

loop through {state1, state2, state3, state4, state5} and save each query as {stateX}_df then merge all

import teradata as td
import pandas as pd
from teradata import tdodbc

udaExec = td.UdaExec(appConfigFile="udaexec.ini")

with udaExec.connect("${dataSourceName}", LoginTimeout=120) as session:     

query1 = """database my_db_{state1};"""

     query2 = """  
                select  distinct
                {state1}, item_a, item_b
                from table

              """  
    session.execute(query1)
    session.execute(query2)

    {stateX}_df = pd.read_sql(query2), session)