A family of Microsoft relational database management systems designed for ease of use.
I always do these things in SSMS which is so much more powerful. However, your approach should work if you had the syntax right. In this case the state name needs to be wrapped in single-quotes.
Multiple states can be handled with the IN clause:
ALTER TABLE SalesLT.Address
ADD CONSTRAINT CheckLic
CHECK (StateProvince IN ('AZ', 'WA'));