Yes.
California has an archaic tax code (for example, property taxes are frozen from the time one purchases it. If someone bought a house in 1970 for $200k that's now worth $1m, they will pay less in property taxes than someone who buys a house today worth $500k) and suffers from political paralysis more than any other. Also, the state is highly dependent on capital gains on the richest, which have fallen significantly due to the recession.
New York is dependent, in no small part, on taxes on bonuses on exec's, which makes usually 30%, on average, of 4th quarter revenue. From 2007 to 2008, bonuses fell by 45% and, according to the state comptroller, cost NY $1b in personal income tax revenue.
I am not familiar with the situation in Illinois, though I can tell you that in Texas the problem is not illegal immigration.
Instead, this is a populist message used to blame those who mow lawns for our problems. It is an untruthful tactic used to stoke anger from people who do not know better. Instead, an honest politician would say that budget crisis is due to falling revenue which is due to recession. Or, if they really had balls (which is most obviously lacking in CA), they would say to there constituents that there unwillingness to reform taxes to meet the new reality must necessitate a cut in spending.
As for Pelosi (and every other DC dumbass who has been there so long they've literally become detached from reality), two words:
Term Limits.