In the 2012 election, among the states that voted for Mitt Romney, only West Virginia and Kentucky have Democratic majorities in either house of the state legislature. Democrats still have a majority in both houses of the West Virginia legislature, and the Kentucky House. Otherwise, all states that voted Republican for president also elected Republican legislative majorities in both houses, if they had legislative elections up in 2012.
For more details, see this link to The Thicket, on-line journal of the National Conference of State Legislatures.