I'll assume you are filing a USA return, and that you are in the My Info section where it asks about the state you lived in on December 31, 2018. There is a way to indicate that you lived in another country.
There is a dropdown menu of states. Scroll way down and below Wyoming, the last choice is "Foreign or US possession." That's how you indicate you did not live in the USA.
Here's another tip:
When you later come to the screen that asks for your mailing address, you'll need to first choose the option that says it is a "foreign address" so that the input boxes will change to a different format. Then you can enter province, country, postal code, etc.
