As ThomasM125 points out, you are mistaken that a T-Bill sold at maturity gives a capital gain that is free from state tax. The "gain" is treated as US government interest which is, of course, exempt from state tax. You may have a capital loss to report if you bought the T-Bill through a broker rather than directly via Treasury Direct as you basis is the original cost plus the interest earned. (The site https://ibkrcampus.com/trading-lessons/capital-gains-or-losses-for-bonds/ notes that the redemption is reported as a capital gain, whether zero or not.)
Of course, your question focused on selling before maturity. In the rather unlikely event that you aren't given the interest earned on a 1099-INT form, you can use the proportion of the maturity period you held the T-Bill and multiply it by the interest the bill earned until maturity, i.e. the maturity value minus the original issue price. (Note this does not work with stripped Treasuries and most zero-coupon bonds which are required to use a compounding interest calculation.)
