The compiler just tells you that this.state.sortCol might not have a value because you have the strictNullChecks flag on.
You can first check for its existence:
const fName = this.state.sortCol != null ?
WidgetTableCols[this.state.sortCol].toLocaleLowerCase() : null;
Which will remove the error (but you will then need to deal with the fact that fName can be null).
You can also use the Non-null assertion operator:
const fName: string =
WidgetTableCols[this.state.sortCol!].toLocaleLowerCase();
If you’re sure that it exists.