change code from
$("#ddl_State").append("<option value='" + i + "'>" + State_Name + "</option>");
to this
$(".chzn-results").append("<li id=\"ddl_State_chzn" + i + "\" class=\"active-result\" style=\"\"> " + State_Name + " </li>");
See the js fiddle[
link].This is a basic step.You will do more work with them..