For the Massachusetts Student Loan Interest deduction, how do you specify undergraduate interest if you've consolidated graduate and undergraduate loans?

You have to manually apportion between the two. 

For example, if you consolidated learn is for $100,000

$25,000 for undergrad, $75,000 is for grad.

You would apportion interest paid 25% to undergrad and 75% to graduate

Massachusetts does accept approximations for this deduction.