There were four slave-states of the Upper South that narrowly voted to stay loyal - Kentucky, Missouri, Maryland, Delaware.
District of Columbia also practised slavery in the first year of the war.
The Western counties of Virginia broke away from Virginia and the Confederacy, to form their own (Union) state of West Virginia in 1863. There was still some slavery there until it was eventually banned nationwide.
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South Carolina
They claimed that the USA had started as a voluntary federation of states, and that any of them could leave when they chose.
Yes, Mississippi was the second to secede.
South Carolina seceded on December 20th 1860.