What should I do? I'm trying to add a state to my W-2. I live in Tennessee, but it doesn't pop up in the box.

Tennessee does not have a state income tax so leave boxes 15, 16 and 17 blank on the W-2 you are entering.

TN doesn't have income tax.   Leave sections 15-20 blank if your w-2 is from TN.   Ignore the warning message - your w-2 does not need a state.