Generally, they'd oblige. I'm not sure whether there are other exceptions. For example, in a case involving pot in a state that legalized it (e.g., Colorado), would they oblige? (okay, arguably that's not a federal case if it involves no interstate trading, so that raises other issues).
But in any case, the issue is not whether they'd oblige, but whether they have an obligation to do so, under the US Constitution. If not, then states (or cities or counties, I think depending on the state constitution) may choose when to cooperate, and when not to.