Box 15 is the state. For Marcus (Goldman Sacks) 1099-INT it's left blank but turbo tax wants a value filled in.
When the interest is reported in Box 8 you do need to select a State ID (abbreviation) or select "Various" for Box 15.
Mine was blank too, but it would not let me file electronically without putting in some value... so, I just put my two-letter state of residence. and it let me proceed.
If the value on your 1099INT is blank, just click on the "x" in the warning box in the TurboTax software message notice demanding a value for that box. The software will then not require an entry, so you can just submit the webpage as blank.
The above answer appeared to work for me, but after that step TurboTax's QA check re-flagged this as and error, so that I was eventually forced to just pick a state (my state of residency).