There's no easy way to carry a physics engine from one state to the other (like any citrus objects).
But if you are running two states at once, there's a good chance you need two worlds to simulate bodies in - unless both your states need to show exactly the same bodies at the same place/rotation on both states. So creating one physic space per state seems common enough to have as a default behavior.
As for performance, my personal opinion is to not use box2D but that's not the question here.
it is not impossible to carry over objects from one state to the other, if you just look at how add() works , how the view system works, and bypass the way the object would be destroyed in the first state, and bypass the add() process on the second state because you shouldn't re-initialize the object and its art.
perhaps you could look at the pool object system which effectively bypasses all of that and keeps citrus objects running in parallel because citrus engine wasn't made with pooling in mind in the first place and things could be rewritten to do so.