I live in Virginia and work in Tennessee. When I try to add Tennessee it has every other state as an option BUT Tennessee ?

Tennessee does not have a personal income tax so you do not have to add it.  (There are other states without a income tax that can be chosen, but this is because they have other tax returns available.)

Tennessee does not have a personal income tax so boxes 15 thru 17 on your W-2 should be left blank (empty)

Or are you referring to made money in other state in the My Info section of the program?  Since Tennessee does not have a personal income tax you do not need to select made money in another state.