Use the Report.OnInitializeParaemeters or BeforeOpenDataPipelines event and SQLBuilder to add a SearchCriteria item and specify 'Is Not Null' for the operator.
Download: SQLBuilderAddNotNullSearch.zip
Sample Delphi code
uses
SQLBuilder;
procedure TForm1.ppReport1InitializeParameters(Sender: TObject; var aCancel: Boolean);
var
lSQLBuilder: TdaSQLBuilder;
begin
ppReport1.DataPipeline.Close;
lSQLBuilder := TdaSQLBuilder.Create(ppReport1);
lSQLBuilder.SearchCriteria.Clear;
lSQLBuilder.SearchCriteria.Add('Customer', 'State', 'IS NOT NULL', '');
lSQLBuilder.Free;
end;