1940 CENSUS COUNTS ALASKA, HAWAII, AMERICAN SAMOA, GUAM, THE PANAMA CANAL ZONE, PUERTO RICO... NATIONAL ARCHIVES 1940 CENSUS PAGE LINK HERE! ...and the VIRGIN ISLANDS, CONSULATES AROUND THE WORLD (EMBASSIES).
When you get to this page, I encourage you to read the FULL INSTRUCTIONS TO THE ENUMERATORS (CENSUS TAKERS).