What I found works is that if you're working with a client who files only in California, I needed to add an additional state, and then I could select CA from the drop-down (it's used for allocating across states), then you can remove the additional state you added, and it should generate.

As you can see in the example for itonewbie, their client has four state returns, so it already had the state drop-down listed; with one state you need to add another state to allow you to select it.