Post mortem:
Here's what I intended for each clue:
Catwoman (3): Thief, Grace, Mark
Vermont (4): State, East, Cold, Jacket
Sting (4): Bug, Mark , Scuba Diver, Jacket
Pressure (u): Scuba Diver, Grace
Wahlberg (u): Mark
You correctly surmised that I didn't go Vermont first, because I was especially concerned with Bear. (and why I chose Vermont over Maine). I did see Mass, but it was worth the risk, since it was neutral. Jacket, was because it's something you'd wear when it's cold (which I hoped you'd have in mind with that as the 3rd word).
So I chose Catwoman, hoping for at least the first two. Mark (in the sense of as a target) was clearly more of a stretch, but I didn't see any risk (I completely missed the Batman / Dark Knight connection, so I'm glad you never guessed that).
Then Sting: trying for Mark a 2nd time - I was thinking more of a when you get stung, it leaves a mark, but happy to see you think about a Police String. Scuba Diver was hoping you would go from Stint -> Jellyfish, and Jacket was even more of a stretch (but you weren't getting it from Vermont), though it had two paths. Again when it's very cold, it stings your face. And then, Yellow Jackets.
For Pressure, I just needed to clue in Grace and Scuba Diver. By giving unlimited, you would know at most two words, which meant the other two had to be two Sting and you were already thinking Bug and Mark. (I was so happy when I had the epiphany for connecting Grace and Scuba Diver that wasn't diving specific, as I was concerned about bay).
And lastly, Wahlberg. Just trying to think of a famous Mark. I considered Zuckerberg, but again, bay.