What is the only letter that does not appear in any US state name?

Q is the one letter of the alphabet missing from all fifty state names, and it is missing for a reason rather than by chance. Q is rare in English generally, appears almost always followed by U, and the place names that became states came from Native American languages, Spanish, French and English, none of which supplied a Q spelling that survived into official use. Every other letter turns up somewhere, including the ones people assume are absent: X sits in Texas, Z in Arizona, J in New Jersey. The trick to answering questions like this is to check the awkward letters one at a time against the states you can name, rather than trying to hold all fifty in your head. It is worth noting the question is about states specifically; Q does appear in American place names at other levels, in cities and counties, so the claim only holds for the fifty.

The territory of Puerto Rico does not affect the answer, since it is not a state.