According to an article in the Wall Street Journal, the first three digits of a U.S. Social Security number is a code that may indicate the state or territory in which your application stated you were born (because the code reveals the state in which you registered). For recent immigrants, the number is supposed to match up with the state or territory in which you were living when you received proper working papers.
*Note: The database in this document is not 100 percent complete or 100 percent accurate. Nothing is perfect. Populous states have added numeric ranges not contained here.