When dealing with dividends, and seeking help regarding interest free dividends, the help topic says:
"My 1099-DIV and/or 1099-INT doesn't have a state listed
Even though these dividends or interest won't be taxed on your federal return, we still have to ask about them because most states will tax dividends or interest that are paid by another state. Exempt-interest dividends are usually interest payments on state or municipal bonds.
You can find the state on more detailed info sent from your financial provider. Contact them if you don't have this paperwork.
Why isn't TX in that list of states with no income tax?
Yes, Texas does not have an income tax and should be on that list. So, if you live in Texas, then you can select "More than one state" and continue. I have submitted that screen to be corrected to add Texas.