Should I claim exempt-interest dividend in only one state and more than one if dividends came from all 50 states?

if you are not a resident of the states from which the muni interest/dividends came, no taxes are due to those states 

the problem is that even in your resident state the muni dividends could be fully taxable.

trying to find out if a portion of those dividends is exempt from your state income tax is impossible if the fund did not provide info.  i find it the easiest just to say they're from TX which will subject the entire amount to your state income tax. in some states it might even be the case that muni interest received from an state muni obligation is exempt but if that bond is held by a mutual fund it is no longer tax-exempt.