The state does have an EIN. They have payroll, etc. What exactly does the message say? It could be a W-2 entered is missing an EIN or state ID# or it could be a 1099-R, 1099-G, W-2G, etc.

I'm dealing with a 1099G refund

I do one Illinois return and they usually try to have a refund because the Illinois underpayment penalties are onerous.  Easy to find on their 2017 return!

It is a good thing some other communities keep track of this kind of thing https://www.atxcommunity.com/topic/14415-please-provide-your-states-ein-and-address-that-would-be-sh...

Thanks George. I knew you had posted this, or similar, before but I couldn't turn it up in a search.

Try all "9's"  That often works.

all zeroes, or zeros, but not -1's