All of them did (operative word being "try to"), except for Delaware.
Neo-Confederate tripe.
Maryland never held a secession convention, nor ever tried to. In the wake of the Baltimore riots in April 1861, the Maryland legislature held a special session. The session was held in Frederick, because the state capitol, Annapolis, was occupied by Union troops (as an alternative route to Washington). In Frederick, with no Union troops around, the legislature voted that it did not have the authority to declare secession, and voted
not to call a secession convention.
Kentucky never held a secession convention, nor ever tried to. Governor Magoffin declared neutrality for the state in April 1861. Nothing else happened until Confederate troops marched in and occupied Columbus, on the Mississippi. Then the legislature voted a resolution calling on the U.S. government "to expel the invaders". The Kentucky State Guard, commanded by secessionist officers, marched south and joined up with another Confederate army at Bowling Green. During the winter of 1861-1862, Guard officers and other pro-secession Kentuckians formed a self-appointed convention and voted a secession resolution. This can hardly be taken as an action of the state.
Missouri held a secession convention in early 1861, which voted against secession and adjourned
sine die. Missouri Governor Claiborne Jackson then conspired to bring about secession by a sort of coup d'état. He stationed Missouri State Guards, under crypto-secessionist officers, just outside St. Louis. At Jackson's request, the Confederates secretly provided artillery. Their plan was to seize control of St. Louis and announce secession as a
fait accompli.
This conspiracy was thwarted by the U.S. Army commander in Missouri, General Nathaniel Lyon. He surrounded the State Guard camp with U.S. regulars and the "Home Guard", an unofficial militia of Union-loyal Missourians, and took them all prisoners. The Missouri legislature was in session in Jefferson City, and a proclamation of secession was mooted. It was rejected on the grounds that the legislature had delegated that power to the now adjourned convention.
Lyon then marched on Jefferson City. Jackson and some secessionist officials and legislators fled; the rest of the legislature stayed behind, proclaimed Jackson and his followers traitors, and named a new governor.
Jackson's group fled to Arkansas, pursued by Lyon. After Lyon was defeated at Wilson's Creek, Jackson's group returned to SW Missouri held a "legislative session" and voted a secession resolution. This can hardly be taken as an action of the state.