Actually, they do.........
http://www.ct.gov/dep/cwp/view.asp?a=2723&q=326164#WB
This is from Connecticut, but the FEDERAL programs are for all states.
Most of the money comes from sporting goods sales, and from what I can tell the go into a general fund, and that "general" fund is used to help pay for wildlife programs.
AND state WILDLIFE grants are completely paid from that program.
While we're "officially" paying this with teh 11% tax on manufacturers, It is coming from the FED in TAXES and not solely from state sources.