Do All Substances Have Three States of Matter?

Far from it: many substances can be found in more than three states of matter, while others have fewer than three. All the chemical elements can be induced to form solids, liquids or gases. But if you superheat a gas, then the electrons get stripped away from the nuclei to form plasma. Stars are made from plasma, so it is in fact the most common state of matter in the Universe. Other more complex materials will decompose before changing states. For example, if you heat wood then it will burn rather than melt. Even if you heated wood in a vacuum, then it would break down into simpler substances before changing state.