Edit in JSFiddle

 $(document).ready(function () {
     var request = $.getJSON("https://mysafeinfo.com/api/data?list=states&format=jsonp&callback=?", function (result) {
         $.each(result, function () {
             $("#states").append($("<option />").val(this.ab).text(this.nm));
         });
     });
     request.complete(function () {
         //alert("request complete");
     });
 });
<select id="states"></select>