I would answer that question by naming the schools that make sense why you applied...e.g. your state school, your alma mater, where you did research, etc. with an explanation why you applied there. Then after naming say 3 schools, stop and wait to see if the interviewer wants to know more. Don't name the twenty schools off the bat. It usually shows that you are either desperate (which maybe true) or that you chose schools indiscriminately (which also maybe true).
Let them know whether you already have an interview or whether you are still waiting to hear for an interview (I would not tell them the status of a rejection). It would not be a good move not to answer the question at all.