Does Tennessee not show on the list for box 15 state? Should I file as blank? Is there any other way to fix this?

Several  states do not have a state income tax.  So these states will not show up in certain drop down lists.   Leave boxes 15, 16, and 17 blank when you enter a W-2 for these states.

Alaska, Florida, Nevada, South Dakota, Tennessee, Texas, Washington and Wyoming

You will get a warning if you leave boxes 15-20 blank.  However, it is just a warning.   After you confirm that section is blank (because you are in a no income tax state), click on Continue and continue your tax return.  The message does not prevent e-file.   It is just a reminder to review that area of your W-2.