The quintesential answer is oHIo. But a more learned answer is that is a song from a 1922 Broadway Musical called The Hotel Mouse. Here's the lyrics:
Old man Biddle gave me a riddle just the other day,
I guessed it right away, I am glad to say,
The riddle he gave to me, I will give to you---,
And if you think you're smart like me, Let's see what you can do.
(It's) Round on the end and "Hi" in the middle.
Tell me if you know.
Don't you think that's a cute little riddle
Round on the end and "Hi" in the middle
You can find it on the map if you look high and low.
The O's are round, it's high in the middle. O-H-I-O That's the riddle!
Round on the end and "Hi" in the middle.
Pa and mother, my great big brother couldn't guess it right,
Tho' they tried with all their might, Just the other night,
I've got the riddle down by heart, And I ain't no fool,
I'm goin' teach this riddle too, To all the kids at school.