If there is a withholding amount reported in Box 17 of Form 1099-INT, then box 15 is required to report for which state the taxes were withheld.
If you did not have any amounts reported in Boxes 15, 16, or 17 on your Form 1099-INT, then be sure that all three of these boxes are also blank on your entry screen for the interest income. If there were taxes withheld for a state, but no state is reported then you should contact the Form 1099-INT issuer for more information.