1. No, all the substances cannot change it's state from solid to liquid or liquid to gas on heating. 
2. Some substances change directly from solid to gas on heating and this process is called sublimation 
3. Only some substances change like that i.e. dry ice and camphor. 
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No some substances don't follow this process as some substances change from solid to gas directly. The process is called sublimation like dry ice changes to carbon di oxide directly without coming to liquid state.
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