The values were flat, not percentage based. So for every 10,000 people you'd need 1 tax capacity. If you have a million people in a single state then you'd need 100 tax capacity. If you had 100,000 people each in 10 states, then you'd need 10 tax capacity per state, for a total of 100. It'd be the exact same.
Since the only listed source or taxation capacity in the tooltip is government administrations, then population density doesn't matter (unless it's so low that a single government administration is overkill). While I suspect there is some law or policy that will give a base level of taxation capacity, I also suspect it's cost will scale based on the number of states.
In short: nothing we've seen in the teaser indicates that smaller less denser states will be better. Maybe they give 100 tax capacity for free and it is, but that's just pure speculation.