Do I need to enter locality name if not on W2?

No, if there is no locality name or wages, then you do not need to enter anything in those fields, just leave them blank.

If there are wages in the locality field of your W-2, then I would check with your employer to determine what locality those taxes were submitted to. 

Is there a locality name for San Diego CA

What if the locality name is blank box-20 

but it still asks you for one Nd won’t let you finish taxes. 

If there is nothing in Box 19, you can leave boxes 18-20 all blank, clear out all 3.     If you have an amount in Box 19, you should have an amount in box 18 and 20 also.  Put something in box 20 that references what the withholding is for (usually a county or city).   You can ask your employer if you are unsure.  @Vigna90