pfsync: fix state leak

If we receive a state with a route-to interface name set and we can't
find the interface we do not insert the state. However, in that case we
must still clean up the state (and state keys).
Do so, so we do not leak states.

Reviewed by: Kajetan Staszkiewicz <vegeta@tuxpowered.net>
MFC after: 3 days
Sponsored by: Rubicon Communications, LLC ("Netgate")
Differential Revision: https://reviews.freebsd.org/D41779