Look at the diagram: The router R1 is originating a TCP connection to R4. R1 has two available paths to R4. The upper path routes the traffic over R2, the lower path over R3. In this example, the TCP SYN flagged packet is routed over R2.
R4 also has two available paths to reach R1. R4 receives the TCP SYN flagged packet and answers with an TCP SYN ACK flagged packet. This time, the traffic is routed over R3.
Imagine there are stateful firewalls configured on R2 and R3. In this case, as the TCP SYN flagged packet from R1 gets routed via R2, R2 sees this as new connection because of the SYN flag. Assuming there are accept rules for "new", "established" and "related" connections from R1, an entry in R2 firewall's state table will be created. R2 passes the TCP SYN flagged packet to R4 and R4 replies with TCP SYN ACK packet in reply. But this time, the traffic is routed over R3. Again, assuming that there are accept rules for "new", "established" and "related" connections from R4, the firewall will block the TCP