All of their state buildings can be used by you, if you control the state - factories, dockyards, radar, AA, air bases, synthetic refineries, rocket sites and nuclear research. Plus you control the population and can recruit men for your armed forces. And all of the resources in the state. You also control the province buildings - naval bases, bunkers and coastal forts.
But there are penalties on use of factories, resources and MP, depending on your occupation policies.
Plus the country you captured the state from can carry out a scorched earth policy, and destroy all of the factories before they leave. So you could actually get no factories.