Run a proc contents on each of your input data sets. Check your types fo the State & County variables between each data set. PUT() will convert a number to a character and INPUT() will convert a character to a number.
You can do the conversion in your ON clause directly once you figure it out.
ie
If county was character in table B but numeric in table A this is what your ON should be:
a.county = input(b.county, 8.)
If county was numeric in table B and character in table A you could convert it to a character.
a.County = put(b.county, 8. -l);