Is this really the best way to jump to a specific state?
Not really, u don't actually save a FSM, but rather emulate a event.
There is/was this plugin
http://whydoidoit.com/unityserializer/, but the dev is in limbo for nearly a year and some issues popped up for Unity 4.1+. It looks fixable, but no one took the time to fix/advance the project yet.
We try to write our FSM's to-be self contained and "repairing", this means we use a Init() startstate that ensures the FSM gets initialized correctly.
If u rely on some external saved data i would put a "save" component on a gameobject and save the values there and check them in the startstate and transition accordingly. This means setup your FSM in a way that u don't have to emulate a transition, but rather add a property check for the "thing" u looking for and transition normally.
bye Andy