State tax filing

Please clarify.

You say that, "At the end of box 12 it asks for the state where the dividends were earned."  Do you possibly mean Box 14?  An entry in Box 14 is only necessary if there's an entry in Box 16, State tax withheld.  See the screenshot.

Or, it's possible that you're talking about the Tell us more about your exempt-interest dividends page, a couple of screens later, which can accommodate one or more states as the source of the dividends.  At any rate, "MX" wouldn't be a valid value on either of these pages.

Where, in fact, were the dividends earned?  Please explain.