I'm filling a tax extension. I live outside of the US. The extension form requires me to write my state, but doesn't allow me to choose outside of US. What do I do?

Unfortunately, the IRS Form 4868 does not allow for a foreign address.  This makes it difficult for those abroad.

You will need to print and mail an extension form to the IRS by April 15th.  The deadline is "postmark" by April 15th if you send it by USPS or the specified UPS or FedEx services listed in the Form instructions attached.

https://www.irs.gov/pub/irs-pdf/f4868.pdf

If you are living overseas on April 15th, you have an automatic extension to file your federal return until June 15th. Please see the following link:

Abroad Automatic 2 Month Extenstion to File