No, you do not need to file an amendment if a return has never been filed. With TurboTax, the federal return is prepared which flows to the state. TurboTax is not designed to complete stand alone state returns. You could do it through TurboTax but you would be entering all of the federal information before starting the state return. Below is a FAQ on how to do that.
If you have other questions about this, ask in the comment section below.
You might consider going to your state's website to see if you can do it through them. Here are the state Department of Revenues:
https://ttlc.intuit.com/replies/3302452
https://ttlc.intuit.com/replies/3301770