Thanks for the quick reply, Thomas -- and for creating the issue.

On Tue, Sep 29, 2015 at 4:15 PM, Thomas Tanon <thomaspelta@gmail.com> wrote:

Sadly, the "state" parameter currently only accepts the values "unapproved" and "all". 

When "all" didn't work, I had a peek at the sources and discovered that the only legal value for the state parameter is actually "any".
 
The following query works for the analysis that I want to do (albeit with a *lot* of filtering required):

http://tools.wmflabs.org/wikidata-primary-sources/statements/all?state=any

Tom