As stated in the comments the actual code you have given is not SQL injection proof and doesn't make sense.
It isn't needed to see the issue anyway.
Just
DECLARE @USstate nvarchar(15) = N'OHIO'
is sufficient.

You will see this message when the "Enable parameterization for Always Encrypted" option is selected and the connection is also set up to use "Always Encrypted"

The warning is telling you that SSMS will parse the batch and make changes to it (introducing a parameter here) rather than executing exactly what you wrote. e.g. in Profiler I see running the above actually executes...
exec sp_describe_parameter_encryption N'DECLARE @USstate AS NVARCHAR (15) = @p46f1ce96211649f2ba21ae979a9c8b57;
',N'@p46f1ce96211649f2ba21ae979a9c8b57 nvarchar(15)'
exec sp_executesql N'DECLARE @USstate AS NVARCHAR (15) = @p46f1ce96211649f2ba21ae979a9c8b57;
',N'@p46f1ce96211649f2ba21ae979a9c8b57 nvarchar(15)',@p46f1ce96211649f2ba21ae979a9c8b57=N'OHIO'
How can we fix the warning?
Disable this option in SSMS if you don't require it. I would only enable these options if actually working with always encrypted rather than leaving them on all the time as the transformations done to the query text can be problematic.