You cannot combine them.  Each tax year is separate and must be prepared and filed separately.  If you used TurboTax for your federal for 2016 then you could go back and do the state.  Or you could just go on the the state's website and prepare it by hand.

To use TurboTax: To finish a prior year return started in TT online:https://ttlc.intuit.com/questions/2559403-how-do-i-finish-a-prior-year-return-that-i-started-in-turb

Note:  Your 2016 state tax return cannot be e-filed.  It has to be printed, signed and mailed.

So when do they give you a 1040 back ?

Not sure what you are asking. A Form 1040 is the form on which you prepare and file your income tax return. Why would “they” give it back?  Who do you mean by “they?”  What are you trying to do?