Zip code not valid for state entered on Form W-2

When I try to file, I'm told that I need to review an entry in my W-2. I get prompted that I must enter either a country or a state and zip, which are foreign and in fact present in my printed W-2. I'd have to edit the foreign boxes (province, postal code and country), however they're disabled and I'm only able to edit the state and zip code boxes. That would be wrong though, since Mexico City doesn't have an official USPS code and my zip code isn't accepted because the state isn't being recognised.

 

Also, my two last names are getting split into M.I. and last? That isn't right.

 

Lastly, I was shown a message earlier that I had to file another document because of my foreign address, however that option disappeared and I can't find anywhere to add that other document.