Okay, 2 amendments to make to my list above:
In 2004, Bono and Edge played at the Bill Clinton Library ceremony thing, in Little Rock Arkansas. A few U2 songs were played acoustic. So although U2 have never performed a concert in the state of Arkansas, 2 members of U2 have performed U2 songs in front of an "audience" within Arkansas' state lines. So I guess you could take Arkansas off that list, but I wouldn't.
Also, I forgot to note that U2 have never performed in any form in the state of Alaska. I forgot about Alaska, all tucked away up there.