It is asking me to put in the state on box 15 of my W-2. The method they want to use is select a state Tennessee is the state, but it is not listed

Several  states do not have a state income tax.  So these states will not show up in certain drop down lists.   Leave boxes 15, 16, and 17 blank when you enter a W-2 for these states.

Alaska, Florida, Nevada, South Dakota, Tennessee, Texas, Washington and Wyoming