select "[Measures].[StateName]" as State,
"[Measures].[someMeasure]" as [Sum]
from openquery(my_olap_server,
'with member [Measures].[StateName]
as [State].[Country].CURRENTMEMBER.MEMBER_CAPTION
select {[Measures].[StateName],[Measures].[someMeasure]} on 0,
filter([State].[Country].[Country],not isempty([Measures].[someMeasure])) on 1
from (select {[State].[Country].[Country].&[index_here]} on columns from [My Cube])')
is the solution. Simple enough :)