Why not a state of southeastern Brazil?
In the exercise "southeastern" modifies "state". In your phrasing "southeastern" modifies Brazil.
un état du sud-est du Brésil can be either:
un état du (sud-est du Brésil) = a state of southeastern Brazil
(un état du sud-est) du Brésil = a southeastern state of Brazil
but the simplest translation is "a state in the southeast of Brazil".
"Julia lives in a state (which is) southeast of Brazil" should also be accepted.
That would be: "Julia habite dans un état au sud-est du Brésil.".
there is another exercise where sud-est and sud-ouest are answers and people have flagged it due to the fact you cannot differentiate one from the other yet here you clearly can.
Moi aussi !
Julia lives in a state in the southeast of Brazil.
Marked wrong, why? :[