Online conformal prediction must balance fast adaptation to distribution shift against stable coverage: feedback-driven methods react quickly but become volatile, while strongly discounted Bayesian methods lag and inflate intervals at tight coverage. We introduce \textbf{State-Adaptive Bayesian Conformal Prediction (SA-BCP)}, which forms the predictive quantile as a gated convex combination of long-term temporal inertia and local spatial evidence from a kernel density estimate, controlled by a single interpretable evidence threshold $K$. We establish three results: (i) asymptotic marginal validity of the resulting intervals; (ii) a closed-form expression for the MSE-optimal threshold, $K^*_{\mathrm{MSE}}=α(1-α)/M^{\mathcal{T}}$, trading the coverage-indicator (Bernoulli) variance against the temporal structural bias $M^{\mathcal{T}}$; and (iii) a rolling-origin procedure for selecting $K$ online -- consistent under stationarity, with $O(\sqrt{T\log N})$ regret against the best fixed $K$ and, for a segmented variant, a sublinear dynamic-regret bound under bounded drift. Across four financial-volatility and weather datasets, three target coverage levels, and eight baselines (including the strongest recent conditional-quantile methods, SPCI and KOWCPI), SA-BCP attains at-or-above-nominal coverage in most settings while producing substantially sharper intervals -- up to roughly $3\times$ lower Winkler score than discounted Bayesian CP at the tightest coverage -- and a coverage-matched audit confirms these efficiency gains are not an artifact of under-coverage. We disclose one principal limitation: a volatility-specialized conformal-GARCH competitor remains more efficient on its home volatility-base series, though it does not transfer across domains.