Odd bug... Can we change the copy there from “select an option...” To “select a state...
Select a different country and then switch it back to USA, it changes to choose a state... but by default is says "Select an option..." which is odd.
The option says 'Select an option' instead of 'Select a state' because some countries prefer to use "County" instead of a "State" and therefore, this text string keeps it neutral. If you would like to change it, you can either translate this string or use a plugin like SayWhat? which will let you change this string site-wide :)
GH Link: https://github.com/woocommerce/woocommerce/blob/9fd391b41414789def5494bd4857214e943b4558/includes/class-wc-frontend-scripts.php#L556-L559