You created a PT with Power Pivot. Then that particular option is indeed greyed out. But you can achieve it under Options on the 'PivotTable Analyze' tab
In the 'Display' tab in the following window, check the box for 'Show items with no data on rows'.
Alternatively, create a measure that sums the values displayed. Let's say that measure is called 'Total Sales'. Then the measure to be used in the PT could be:
=IF( ISBLANK ([Total Sales]), 0, [Total Sales])
This will display 0 (zero) for all States with no sales.