According to the map shown in the Peterson Field Guide to the birds of North Am., East of the Rockies (exact title?), it can inhabit, during the nesting season, the whole of your State.
I have never had one of these in my yard and sure wished I did! Here in S-W Quebec, they can be seen in shrubby fields, like around power lines, or at the edge of regenerating woods and (sugar maple) forests.

They are irregular visitors at my feeder, showing up sporadically through the summer. It seems to me that I see them mostly on weekends because they come in late morning or afternoon when I would be at work otherwise. I don't ever remember seeing large numbers of indigos and they seem shy. Maybe you are not looking out the window at the right times.