The state? Palantir isn't the state.
“The state” is an abstraction that serves as a façade for the ruling (capitalist, in the developed West) class. Corporations are another set of abstractions that serve as a façade for the capitalist class (they are also, overtly even though this is popularly ignored, creatures of the state through law.)
The greatest trick extraconstitutional corporate government ever pulled was convincing people that it didn't exist.
Go on, who does Palantir primarily provide services to?
If I get shot by the FBI, is it a non-state action because they used Glock GmbH's product to do it?