If there is an amount in Box 18 or Box 19 on your W-2, you can't leave Box 20 blank.
This mean you paid tax on Local Wages, so you need to enter a Locality.
If you had a locality tax for some reason withheld, but you don't have a local tax return filing requirement, you can just put the state initials in Box 20 of the state where the locality/city for which this withholding is associated.
Click this link for more info on Box 20 on W-2.