Did he actually say that? Or are you just inferring it from his actions?
There is a way to combine pretrial proceedings for the same civil actions pending in multiple districts:
§ 1407. Multidistrict litigation
The actions are then remanded back to the originating district courts. But, it's still up to the original judge to make a ruling.
From a political point of view, I understand the AG's position. Even if the ruling isn't "effective" for his state, it creates enough uncertainty that it's reasonable to delay implementation until it's resolved.
My source is this from the NRO as posted here on FR:
"In light of Judge Roger Vinson’s ruling that Obamacare is unconstitutional, Wisconsin’s attorney general, J. B. Van Hollen, has declared the Badger State free of any obligations imposed by the law. “Judge Vinson declared the health care law void and stated in his decision that a declaratory judgment is the functional equivalent of an injunction,” Hollen says in a statement. “This means that, for Wisconsin, the federal health care law is dead — unless and until it is revived by an appellate court.”
A judgment is effective as to all parties in a suit. For 26 states, there is no Obamacare with which they must comply. If anybody should want review of the ruling, it ought to be the Obama Administration, which is also bound as a party.