используйте Select внутри предложения IN
Select E.EmpID as EmployeeID, B.CountryId, B.CountryName, B.StateId,
B.StateName
from tblEmployeeInfo E
inner join tblTest B
where E.StateId = B.StateId and E.CountryId = B.CountryId
and E.EmpID IN (select E.EmpID
from tblEmployee E
where EmpRole in (1,2,3) and E.Test like '%PS%'
)