The right answer is "We have tickets to fly to Los Angeles, California on Friday, October 29. "
The use of the comma is correct in this sentence, when writing you must separate the name of the state of the city name using comma. That way, the phrase "... fly to Los Angeles, California ..." comma usage was done correctly.
In the same way, the day of the week should be separated by the month name. So, in the passage "... on Friday, October 29." we can see that the comma was also used correctly.