No there is no change of mass of a substance when it changes it's state.
1. take a beaker and put ice cubes in it.
2. measure it's weight using a spring balance let it be m₁ grams
3. allow the ice to melt
4. measure the weight again using spring balance let it me m₂ grams.
5. we notice that m₁ = m₂
thus we can say that substance does not change it's mass on changing it's state.