I think you need to provide more information. This seems to work:
pg <- ggplot(dd, aes(Predicted_value)) ## need aesthetics in the ggplot
pg <- pg + geom_density()
## gotta provide the arguments of the dnorm
pg <- pg + stat_function(fun=dnorm, colour='red',
args=list(mean=mean(dd$Predicted_value), sd=sd(dd$Predicted_value)))
## wrap it!
pg <- pg + facet_wrap(~State_CD)
pg
We are providing the same mean and sd parameter for every panel. Getting panel specific means and standard deviations is left as an exercise to the reader* ;)
'*' In other words, not sure how it can be done...