"State diagram" has several meanings in different contexts. The diagram you showed is a finite state machine. In UML, a state diagram usually shows the states of an interactive system and the events that cause transitions between states.
In Think Python I use the term in a slightly non-standard way, to refer to a diagram that shows the state of a running program. In UML it would be called an object diagram, but at the point in the book where I introduce state diagrams, we don't know about objects yet.