Grand juries exist in both the Federal and the State court systems.
https://www.ncsc.org/Topics/Jury/Grand-Juries/Resource-Guide.aspx
The 35,000+ count of sealed criminal cases/indictments is just Federal cases.
An example of a State grand jury inquiry is the Pennsylvania State-Wide Grand Jury, that's about to release the report on sexual abuse in the Catholic Church Dioceses in PA.
https://www.pacourts.us/assets/opinions/Supreme/out/J-56A-M-2018%20MO.pdf?cb=1