It says I need to add info for locality name but one isn't listed on my w2, but I can't continue without something in the box.

Either boxes 18, 19 & 20 must all be filled in or they all must be blank ... so if there are non zero amounts  in boxes 18 & 19 you must also enter a locality in box 20.  If the employer failed to enter one then ask them for the correct information and a corrected W-2 form.  

Box 20 on your Form W-2 works with box 18 and box 19.  If you have taxes withheld in box 19, there will need to be entries in box 18 for the wages they are based on, usually the same as your state. There will also need to be a locality the taxes were paid to. This will generally be the city where you work.  

If you do not have any entry in box 19, you may leave box 18 and 20 blank.

If you do have taxes withheld on box 19, the city where you work should be box 20, but if there is any doubt, your payroll department can confirm where the taxes were paid.