Hi,
If what Jerome told you is not what you want, then I don't see what you want.
The "please select" option is the closest thing as it adds an entry that isn't a state and with the required option turned on, it forces the user to select something else. And on top of that, you can even change that text with a translation override if you want it to be empty.
It's not possible to not have one of the values of the dropdown selected in a dropdown in HTML.
Otherwise, what you can do is trick the browser with such JS code:
stackoverflow.com/a/8605567/6390007