Say you're building an FSM for something like a game and you've got states like:
- MainMenu
- Options
- SinglePlayer
- MultiPlayer
Your state diagram might look something like this:

Now say you have a shared state, DevConsole, (shows the console when tilde is pressed and receives KB input etc. I'm sure you've seen it before) such that no matter what state you're in, this state applies.
How do you diagram that?
edit*
An example of how it would function would be like this:
public class StateMachine
{
protected State sharedState;
protected State previousState;
protected State currentState;
public void Update()
{
if(this.hasSharedState)
this.sharedState.Update();
if (this.previousState != null && this.previousState.IsExiting)
this.previousState.Update();
else
this.currentState.Update();
}
// called by individual states
public void ChangeState<StateType>()
{
// creates a new state adn sets its state machine owner to this machine
this.previousState = this.currentState;
this.previousState.Exit();
this.currentState = StateBuilder.Build<StateType>(this);
}
}
