I'm trying to enter my 1099-INT form from Ally Bank and my box 4 has $0.01 federal income tax withheld. TX is not an option but its forcing me to put a state.

The program should not be asking about a state for .01 federal tax withheld. 

Did you enter anything in Box 17 on the 1099-INT?

If the form was uploaded, you might need to delete and type it in.

Could the program be asking about state tax on a different tax form, such as a W-2? 

If box 17 is empty then leave all boxes 15, 16 & 17 Blank.  I would also leave box 4 Blank too.