Cryptic crossword clue
I’m surprised state doesn’t have one 3

The most common and most likely answer to this crossword clue is the 3 letter word OHO

I've seen this crossword clue in The Guardian
O
H
O

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The straight part
We know that "I’m surprised" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case i’m surprised = oho.
The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.
This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.

What does OHO mean?

OHO interjection
  1. Expressing surprise or gloating realisation; aha.

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