Rather than trying to find code trick to avoid the exception, you'd better try to find out why it happens. The exception type is not that clueless: undefined line type.
Is the the layer state file (*.las) exported from the same drawing file you are now trying to import into? I'd guess it is not. What happened is that the layer state file was exported from a drawing which has some line types loaded, but one or more of those line types are not loaded into the drawing the layer state file is to be imported into. That is, prior to import the *.las file, all the line types referred in the *.las file must have been loaded into the drawing.
If you do a manual import, AutoCAD would prompts you the same line type issue. However, AutoCAD's build-in import command allows you to continue in spite of the line type issue, and use "continuous" line type of replace all the missing line types.
Obviously, try..catch.. will not solve your problem: it only stops the importing when first layer state with missing line type is reached. That means any layer state after that is not imported.
Should the .NET API's LayerStateManager.ImportLayerState() provide a chance to handle missing line type when each layer's state is read in (for example, by supplying an argument of alternate line type name in the method), then we would easily achieve what AutoCAD's built-in layer state import command does.
One possible solution I can see is to read through the *.las file before importing (it is just a plain text file) to find line types in the *.las file and compare them to the line types loaded into the drawing. Once you find the difference, you can either load all the missing line types into the drawing before importing *.las file, or substitute the all the missing line types in the *.las file with one of the line types existing in the drawing (meaning you need to update the *.las file before importing it).