Son has graduated and now has internship in another state so where does he file?

You mean his tax return, correct?  You should use the current mailing address that the IRS would use to contact him with correspondence or to mail him a check (if applicable.)  Otherwise, if there is a problem with his return, they would write to the wrong address, and he likely would not get their letter.

Thank you Tom for your response.  I do mean his W-2 form.  He only has a temporary residence in NYC for his internship and then he will move back to Illinois probably unless he gets a job.  If he puts the NYC address, come 2021 he will no longer live there.