The read_file method of geopandas expect a file adress as input as can be seen here in the documentation https://geopandas.org/en/stable/docs/reference/api/geopandas.read_file.html

import geopandas as gpd
gpd.read_file("./directory/fileName.json")

it seems that the geojson that you are seeking is a geojson file for the US states. You could find this here https://github.com/PublicaMundi/MappingAPI/blob/master/data/geojson/us-states.json?short_path=1c1ebe5

download the file and then use the function to read it and store it as a geodataframe