This paper proposes a new generative probabilistic model for phonocardiograms (PCGs) that can simultaneously capture oscillatory factors and state transitions in cardiac cycles. Conventionally, PCGs have been modeled in two main aspects. One is a state space model that represents recurrent and frequently appearing state transitions. Another is a factor model that expresses the PCG as a non-stationary signal consisting of multiple oscillations. To model these perspectives in a unified framework, we combine an oscillation decomposition with a state space model. The proposed model can decompose the PCG into cardiac state dependent oscillations by reflecting the mechanism of cardiac sounds generation in an unsupervised manner. In the experiments, our model achieved better accuracy in the state estimation task compared to the empirical mode decomposition method. In addition, our model detected S2 onsets more accurately than the supervised segmentation method when distributions among PCG signals were different.