There are minimum filing requirements for your federal and state income received. The requirement is based on your total income not just your unemployent income. If you are below the filing requirement amounts, then you do not need to file a return. However, if you are not required to file, then filing would mean you would receive a refund for the amount withheld from your unemployment.
Click the link below to see if you need to file a federal return. Google your state's Department of Revenue website to see if you are required to file a state tax return.
https://ttlc.intuit.com/questions/1901490-do-i-need-to-file-a-federal-return-this-year