OK, I'm only up through Tang in the History of China podcast by /u/cthulhushrugged, so maybe a later dynasty pulled it off, but I think not.
In Rome, you had the Judio-Claudian dynasty, then the Flavians, later Severans, Constantinians, et cetera. A new head of a dynasty, or even just a singleton (crisis of the Third Century), could seize the existing capital and government, and it was "say hello to the new boss, same as the old boss".
In China, though, I don't think that ever happened. Even when there was a short interregnum, like Sui to Tang, there still was an interregnum, new capital, and I think a new governmental setup, though probably resembling the old. (Exceptions that I know of: Empress Wu and Wang Mang -- but these were singleton usurpers and the old dynasty more or less picked up after they died.)
Was there a dynastic transition in China keeping the same capital and system? Am I overlooking other continuity in China?
Can you clarify what you mean by “losing the state?” Roman history has plenty of periods of usurpation and civil war, so it might help to define what you’re looking for so that the arguments aren’t purely semantic
In China, though, I don't think that ever happened. Even when there was a short interregnum, like Sui to Tang, there still was an interregnum, new capital, and I think a new governmental setup, though probably resembling the old. (Exceptions that I know of: Empress Wu and Wang Mang -- but these were singleton usurpers and the old dynasty more or less picked up after they died.)
Consider the transition from Han to Wei, and from Wei to Jin. Was there really any big difference in the government structure, territorial control, etc between 219 CE and 221 CE, other than the name of the Emperor? Was there any big difference between 264 and 266 CE?