Have you tried "XX" or "More than one State" from a drop down menu?
"XX" means "More than one state" and is the default answer when you don't have that information.
It doesn't apply to your federal tax return, so you won't see it there. It only applies to state returns when you have tax-free interest dividends. If these interest dividends are coming from your state, then they are usually exempt from your state's income tax. If they are coming from a state other than your own, then your state will tax them.
