What is the best way to automate Dropdown which have lot of values to select (Eg: State Dropdown)

1. For native web dropdown controls (even for Scalable Web Testing) the code will be:

function test()
{
  Sys.Browser("chrome").ToUrl("https://material.angular.io/components/select/examples");
  Sys.Browser("chrome").Page("https://material.angular.io/components/select/examples").FindElement("//select[@id=(//label[.='Cars *']/@for)]").ClickItem("Audi");
}

So, maybe the control which you use is not supported one.

In this case you can request support of this control in the special section for feature Ideas: https://community.smartbear.com/t5/TestComplete-Feature-Requests/idb-p/TestXCompleteFeatureRequests

2. 3. 4. Unfortunately, I have no access to your web page, but it seems, yes, it's not simple drop-down. That's how it's possible to deal with controls without special support:

function Test1()
{
  let URL = "https://material.angular.io/components/select/overview";
  let whattoclick = "'Pizza'";
    
  Browsers.Item(btChrome).Navigate(URL);
  let browser = Sys.Browser();
  browser.BrowserWindow(0).Maximize();

  let page = browser.Page(URL);
  page.FindElement("//select-overview-example/mat-form-field//mat-select//span[contains(@class, 'mat-select-placeholder')]").Click();
  page.FindElement("//span[contains(text(), "+whattoclick+")]").Click();
}

lets try to do it like this:

WhatToClick = "'"+excelSheet.Cell("A", 3).Value+"'"

put single quote before and after the WhatToClick