[I'm posting this as an answer so I can attach screen shots. I hope it turns out to be the answer.]
I also have a 1099-OID from Morgan Stanley. It accepted my entry of CA without issue. But this should have been handled in the step-by-step interview (see attached screen shots).
What state or territory do you need to enter? Online help says:
Enter the 2-letter postal abbreviation of the state in which the interest was earned. Valid territory codes for this field include AS - American Samoa; FM - Federated States of Micronesia; GU - Guam; MH - Marshall Islands; MP - Mariana Islands; PR - Puerto Rico; PW - Palau; VI - U.S. Virgin Islands.
