SYMPTOM:
In Strategy Analytics Express, the states of Brazil which contain special characters in its names are not recognized, i.e. Amapá, Ceará, Espírito Santo, Goiás, Maranhão, Pará, Paraíba, Paraná, Piauí, Rodônia and São Paulo:

CAUSE:
This is a known issue in Strategy Analytics Express.
ACTION:
This has been fixed in Strategy version 10.2 and newer.
WORKAROUND:
Use names without special charaters like Sao Paulo instead of São Paulo.