The SOTU is a speech to congress and cannot be given at a rally https://talkingpointsmemo.com/news/trump-political-rally-second-state-of-the-union
Technically, though, State of the Union speeches are delivered to Congress, not crowds at political rallies.
Article II, Section 3 of the Constitution states that the President shall from time to time give to the Congress Information of the State of the Union, and recommend to their Consideration such Measures as he shall judge necessary and expedient.
Following the first State of the Union addresses delivered in-person to Congress by George Washington and John Adams, presidents delivered these updates in written form for more than 100 years, until 1913 when Woodrow Wilson revived the practice of delivering them in-person.
But the addresses have never been and seemingly cannot be, constitutionally delivered in the form of a political rally.
Since a rally is not the official SOTU, media should refuse to cover it