World clock not showing times for various cities on my iPhone

I understand that every city may not be on the list but you will never get a result when you search by the state name. I would suggest searching by major cities

In addition to the aforementioned problem that you can't search by state, not every city is listed. Pick another city in the same time zone if you can't fine the one you want.

Colorado & California aren't cities, they're states. The message tells you to enter a city

There are hundreds of thousands of cities in the world. Fortunately, within any one state (with a few exceptions) ALL cities in a state are in the same time zone, so you can choose any nearby city in your state to set the time zone. Or, you can turn on Automatic and your phone will figure it out, and also automatically adjust the time zone as you travel around the world.