Okay, there's a lot of information I don't know. Is this referring to Federal or State. If you are a US citizen you will not have to file a 1040 NR. If you are not a citizen you should have been filing one all along.
Now I expect that this will end up being about the states. If you do not live in OK and you won money in that state you will have to file a non resident return in OK. If you happen to live in TX there is no state tax so that will be the end of it. If you live in a different state that does have an income tax you will have to report your winnings there too. But, you will get a credit for the tax you paid in OK.
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