[Python] How do I extract the shapefile of a particular state from a country's shapefile?

I am working on urban heat island modelling and I want to sample points in my Landsat images over the boundary of Lagos, Nigeria.

I have a shapefile of Nigeria (it downloaded with several other files, all with the same names but different extensions) and I want to select only Lagos state and use that as my sample boundary. Any idea how I can do this?

I am working with the Google Earth Engine ee Python library. Right now, I have manually defined a square over Lagos like so:

lagos_aoi = ee.Geometry.Rectangle([3.1, 6.4, 3.6, 6.75])


I then used that area in the collection:

collection = (
ee.ImageCollection("LANDSAT/LC08/C02/T1_L2")
.filterBounds(lagos_aoi)
.filterDate("2021-11-01", "2024-03-31")
.filterMetadata("CLOUD_COVER", "less_than", 20)
)


However, that square is too small and even encroaches into another state. Does anyone know how I can use the Lagos shapefile instead?

I have tried this solution but I am unable to locate the shapefile I need.

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