This error is most common when are attempting to add a state to a return and the state isn't correctly downloaded or updated. You can fix this by checking for any updates to your modules. Sign into your UltimateTax software as an Admin and go to Communications at the top and then select Get Module Updates.
Once the communication session ends, you will be notified that updates were downloaded, and be asked if you would like to apply them. Please click Yes.
After the updates finish applying, you should then be able to add the state into the return without issue.