I made some money in Texas so I guess I'll have to file a return - but TX is not in the pulldown list. Why not?
Texas is not included because they don't have an income tax.
Alaska, Florida, Nevada, South Dakota, Texas, Washington, and Wyoming don't have income tax. Those residing in one of these states don't have to file a return in that state.
However, if you're a resident in a state that does have an income tax and you earned money working in one of these "tax-free" states, that income needs to be reported on your resident state return. And you can find the reasoning behind this here Why does tax-free income from Alaska, Florida, New Hampshire, Nevada, South Dakota, Tennessee, Texas...
So for example, if you're an Ohio resident and worked in tax-free Texas, you'd still have to report your Texas earnings on your Ohio return as well as your federal return.