The only letter that does not appear in any United States state name is the letter Q.
Why it is true
When analyzing the names of the fifty states, it is found that all other letters of the English alphabet are present in at least one name, except for Q, making it unique.
Source: Linguistics
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This is the reading side of the site, so the answer is in the sentence above — that is the whole point of it. Test yourself works the other way round: the question comes on its own, and the fact and the explanation only appear once you have answered.