This is a "feature" that either VATax or ProSeries decided to introduce a few years ago.  Prior to that there was an option to select Non-resident/Out-of-state but that was removed.  I never found a resolution to it but you might try calling support.  They'll tell you to come back here and post something in the Idea Exchange where it will be ignored, but it might make you feel better. 🙂  Maybe there's some secret way to get this to work now but more likely they'll tell you that you "have to" mail in the return.

I would just pick a County/City from the list (maybe the one the real estate was located in?) and efile it.  It doesn't affect the math any.

Rick