Please put this code in functions.php file.

//default checkout state
add_filter( ‘default_checkout_billing_state’, ‘change_default_checkout_state’ );
add_filter( ‘default_checkout_shipping_state’, ‘change_default_checkout_state’ );
function change_default_checkout_state() {
return ”; //set state code if you want to set it otherwise leave it blank.
}