Used to live near State Street station. It's annoying to find, but the simplest way I found (with the clearest display) is to click the State St. station icon on Google Maps & then select only New Haven Line trains. It should then show only the trains going all the way to GCT, like 6-8 a day. Annoyingly, they're mostly clustered in the evening rush hour it seems. I got really lucky one year that the 10:41am fit my schedule. I never did find a really clean way to see which MNRR trains go all the way to State St. from GCT, though it's not a ton. Sometimes it's not so bad a wait to just transfer at Union, if waiting 10-15 minutes is better for you than walking. (Also, it's free to ride between Union Station & State St., fyi.)