What is the One Letter Not Used in a State Name?

Ran across this interesting brain teaser on shareably.net and I'll be honest, I got it wrong.

Take a look at this map of the United States.

You know the names of each state. But what letter of the alphabet is not used in any of the state's names?

The only hint I will give you is that there is only one letter that is not used in any state name.

You will need to scroll down to get the answer. No cheating.

Not a single state has the letter "Q" in it's name.

Hope you got it right and hope you enjoyed this brain teaser.