We consider zero-delay analog coding of a Gaussian source over a Gaussian channel with additive correlated Gaussian interference known to the transmitter. The receiver aims to jointly estimate the source signal and the state interference. We propose a layered parametric analog coding scheme based on linear and sawtooth mappings. We derive an upper bound on the distortion for the parametric scheme by assuming a suboptimal decoder. To optimize the system parameters, we use two suboptimal methods. The first one is partially numerical and part of the parameters are derived assuming no sawtooth mapping; the other one, however, is based on minimizing the derived upper bound. To improve the performance whenever storage and offline design complexity are not an issue, we design a nonparametric mapping through an iterative process based on joint optimization between the encoder and the decoder using the necessary conditions for optimality. Numerical results show that the nonparametric and parametric mappings outperform the linear scheme and overcome the saturation effect.