When adding a property you can pick the address from an auto-suggested Google list or add it manually. If you choose to add it manually, you will pick options from this list of Locations added in DM.
So, how you can add new states, provinces, or cities. Go to DM - > Locations and first add Country if you don't have it already there.
Then select the country and add other location components, like states and сities. Please check out the video below:
Above all the location components you will find a Search field that will help you fast and easily find the required state, province, or city.