Increasing oxidation state is the same as saying becoming more oxidized. Think of oxidation as an atom increasing the amount of bonds towards oxygen. Therefore, as we increase bonds towards oxygen (increasing oxidation, increasing oxidation state), the electron density changes significantly.
Think of HNO2 (Ka 5 x 10 ^ -4). If the nitrogen atom increases it's oxidation state, it becomes HNO3 (Ka 28). The nitrogen atom's oxidation state increased, changing the electronegativity of the molecule making it more acidic.
Hope this helps! Let me know if you're still confused.