A Different way to add entities using Entity Framework

Question

I have following classes in my model:

public class Country
{
    [Key]
    public string Code { get; set; }
    public string Name { get; set; }
    public ICollection<State> States { get; set; }
}

public class State
{
    public int ID { get; set; }
    public string Code { get; set; }
    public string Name { get; set; }
    public Country Country { get; set; }
}

I know how to add a new Country and a new State using DbConext by coding like:

Country country = new Country() { Code = "USA", Name = "United States" };
State state = new State() { Code = "CA", Name = "California", Country = country };
db.Countries.Add(country);
db.States.Add(state);
db.SaveChanges();

// db is the instance of DbContext.

I was trying to do that in another way by creating only country and then add State to it's collection property:

Country country = new Country() { Code = "USA", Name = "United States" };
country.States.Add(new State() { Code = "CA", Name = "California" });

But I noticed that country.States is null.

My questions are:

1. How should I initialize country.States so I can add a new State to that collection.
2. Does doing it using the second method make any sense? (if it is feasible)