No Problem. If your W-2G Box 18 is blank, enter XXX in the locality field.
If there is no local tax withheld on your Form W-2G, just leave boxes 16, 17 and 18 blank. That is completely blank, no xx, no zeroes.
If you do have an amount greater than $0 in box 17 and the locality is not named, you need to contact the issuer of your W-2G to get the name of the locality.
To go back and fix this: