Your answer is that you would not need to file taxes in that other state unless you actually (physically) worked there. As you indicate that you did not, then you should consider this 1099-MISC as compensation earned for work performed in your home state of residence . . . regardless of the return mailing address on the check.
In other words, an employer's corporate address or headquarters that is different from the state(s) in which you live and work, has no actual meaning or effect on how you file your personal income tax return. Thus, you don't need to input an answer in TurboTax that you made money in any another state, simply because of where your employer is based. That's not what it means to have or earn income in more than one state (although we can certainly understand and appreciate the confusion if you haven't faced this issue before).
Let's work through another example for clarity. Say that Jane lives and work in Colorado, but her employer is headquartered in South Carolina. Furthermore they have a payroll office in Maryland that issues her a weekly paycheck and mails her a W-2 (or 1099-MISC) at the the end of the year. In this situation, she only has to file a tax return and pay taxes in Colorado. She can and does ignore South Carolina and Maryland for tax reporting purposes. Hopefully, that logic and this explanation will help to clarify things.
conclusion, as you can see, it makes all the difference for personal income tax
reporting where you are working and living; but it does not matter where your employer is located.