Maya,

I am a Texas resident but on this form they selected Texas and took out state taxes.

As mentioned by MayaD above, Texas does not have any state income taxes for individuals and as such, there are no filing requirements there.  

Therefore, if you lived and worked in Texas for the entire year, you will only have to file a federal income tax return.

States without income tax for individuals

If you feel the income taxes should not have been withheld, you will need to contact your employer to rectify the error in the future.

I live and work in Texas but have a W2-G from Oklahoma casino for a winning. They selected in box 13 Texas and in box 15 it shows they took out $xx.xx amount for state taxes.

If you live in Texas and your winnings were in Oklahoma, it should have shown OK in box 13.  Since Texas does not have an income tax there is no way to offset that state tax.

On your Federal taxes;

If you itemize instead of taking the Standard Deduction, you can deduct gambling losses up to the amount of your winnings.

You won't be able to deduct gambling losses if you lost more money than you won (excess losses) or if you're taking the Standard Deduction.