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...