Yes, there are states that do not use ignition interlock devices. The National Conference of State Legislatures (NCSL) lists Alabama, Connecticut, Hawaii, Massachusetts, South Dakota, Vermont and Wyoming as states that do not use the ignition interlock device (IID).
State statutes change though so any of these states may have pending legislature or have passed laws since this list was put together so you would have to check with these states Departments of Motor Vehicles to find out if IIDs are currently used or not.
For background on why ignition interlock devices are used, in 1998, the United States Congress passed the Transportation Equity Act of the 21st Century reauthorizing highway funding. The act enables States to receive increased federal funds by passing legislation within various drunk driving sanction guidelines. Ignition interlock devices are included within Section 164 of the guidelines of this Act.
Most states that do have laws regarding the IID require DUI or DWI offenders to install an ignition interlock device as a condition of license reinstatement or probation after being convicted of a driving under the influence of alcohol offense.
Some states only require it after a person has been found to be a repeat intoxicated driver meaning that an individual has been convicted of a second or subsequent offense for driving while intoxicated or driving under the influence.