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Kentucky was a slave holding state that did not join the confederacy. Lincoln is quoted as having said something to the effect that if he could not win Kentucky he could not win the war. Also, once Lincoln issued the immacipation proclimation, only slaves within states that had joined the confederacy were free, meaning that Kentucky could still legally continue to own slaves.
Grant concentrated on Lee in Virginia, and told Sherman to destroy Johnston's Army in Tennessee.
They didn't. Missouri suffered guerrilla war throughout the conflict, but did not secede. Kentucky was allowed to remain neutral at the beginning, and then voted against secession. An alternative Confederate government was set up there when Bragg invaded, but it collapsed when he retreated. Maryland probably would have seceded, had not Lincoln (illegally) jailed its pro-Confederate leaders.
The Northernmost slave-states - Missouri, Kentucky and Maryland. If these had joined the Confederacy, it could well have tipped the balance in favour of the South. All three had pro-Southern leaders, but the public was divided, and these states did not secede from the USA.