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Define a property under the state object, which will contain the response coming from your API

this.state.stateOfIndia = [];

write a function which will receive data from api and update your state

receivedData(data){
     const newState = Object.assign({}, this.state, {stateOfIndia: Object.keys(data[0]).map(d=>data[0][d])});
     this.setState(newState);
}

Now write the following code in render function

render(){
   return(
      <div>
          <select>
                {this.state.stateOfIndia.map((d,i)=> <option key={i} value={d.name}>{d.name}</option>)}
          </select>
     </div>
   )
}

Try above code, may be it will help you