I was adopted. Do my parents have any rights or have a say when it comes to my children if anything were ever to happen to me?

No - there really are no grandparent "rights." The fact that you were adopted is immaterial. You should carefully think through who you would want to be the guardian of your children if you were to die and write it into your will. If the other parent is still alive he/she should do the same. Otherwise the courts would have to make a determination which may not necessarily be what you would want.

What state is this in? Many states DO have grandparent rights. And upon the worst happening the state would prefer to send the child/children to relatives rather then strangers.

Every State has Grandparents' rights in some form or fashion.

Here is Colorado law: http://www.colorado-family-law.com/grandparent-rights-visitation.htm

(Being adopted is immaterial.)