The fact that for certain states there is no alphabetic list is due to the fact that there is no alphabetic list available in Yahoo, this depends on the total number of cities. Look at the two images below. The same behaviour also exists for other countries where you don't even have a states list.
Unfortunately, the last version does not solve the problem. I tried with the state of Nevada and the city of Zephyr Cove, you get the city of Coyot Springs. Will have a look at it.
Best regards.
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