No, by reporting the income, your state tax return calculates your tax liability. Therefore, the fact you had no withholding does not matter. If you owe money to the state after your entire return is completed and all your forms are accounted for, you could potentially have an underpayment penalty, but again, this is calculated with your return.
Simply report the W-2 as issued, you may need to enter a zero for state income tax withheld to e-file, and you should be good to go.
