Make sure you also wire each group in the other states to its respective state. Wires won't transfer over from the first state.
There is a way to do it within 1 artboard and with 1 component, but it's quite the headache 🙂 I played with it and with 3 components this is the most high-fidelity thing you can get. If you want to play around with it, here's the file and the prototype so you can see how I've set it up.
Prototype with specs
Accordion .xd file
As Kenneth suggested, you can't point nested components to other states, but you can do that with groups. I made a group for each item's title bar, and a component for the text. You can just hide / show the text, but then you get an ugly fade animation that overlaps other items. Also, you can't group the text and title together, because if you want to collapse an item, you only want the title clickable, and not the text. I added a hover effect in there as well 🙂