This is tough to say because there were good and bad relationships with the Native Americans in all colonies. However, I would argue that the best relationship was between Pennsylvania and the Native Americans in the early days of the colony. As with most colonies, it ended in skirmishes and wars with the natives. However, Pennsylvania had a strong relationship with the local natives before then.
William Penn, founder of Pennsylvania and a Quaker, built a colony on total religious pacifism. Pennsylvania was widely known as the most accepting land in the New World. This was no different with the Native Americans. The Iroquois were prevalent in northern Pennsylvania and there were mutual benefits between the two. Pennsylvania had treaties with the natives for fur trade in the north and access to lands near the Chesapeake with the Susquehanna. These tribes agreed to this in return for protection.
Pennsylvania found it very important to follow Native American cultural beliefs in negotiations, this added to the positive relationship. This entire process was called "The Long Peace" but, sadly, was erased as frontiersmen pushed into the Ohio Valley and started The Seven Years War.