I am looking to create a trigger (ideally a json payload must be sent to a server) when an User Story is changed to closed/resolved state.
I am following this documentation
How can I achieve this with Azure DevOps?
How to trigger an event in VSTS when there is a state change
First, Azure Devops has capabilities to set up email notifications for the work Item. Check this the document Manage your notifications for some more details.
For you requirement, you could add a new subscription with following settings:
Then, if any User Story is changed to closed/resolved
state, you will receive a e-mail about it.
Besides, if the trigger event is more than just a e-mail notification, like build. You could configure a service hook to send request to build related builds:
Check this thread for the details.
Hope this helps.