I'm trying to answer this from memory, but hopefully this will help. As I recall, when you select "multiple states", does the screen then show a lineup of entry boxes for states? If so, and if you click on one of those boxes, in the dropdown menu to choose a state is there again a choice of "multiple states" somewhere in the dropdown? i.e., you may have to say "multiple states" in 2 places--at the top and again in a dropdown for one of the boxes. I don't remember where in the dropdown menu it's located; it might be all the way down at the bottom of the dropdown menu.
If you DO want to list any specific states (like your own or others) and their percentages, we can tell you how to find that info on broker supplemental tax information forms, although sometimes I have to go direct to the mutual fund website and do some detective work there.
Choose the first radio button and pick Multiple States from the State dropdown box.