No, you will not have a state return.  You will either have a U.S. or a Guam return, depending on your circumstances. 

Special rules exist between the United States and Guam.  Please click on this link for IRS Pub 570 that goes into details on these rules.  Since you are a Guam citizen and were a resident of Guam before entering the military, it technically continues to be your residence, and therefore is the return you should file.

Guam is not a state, and has it’s own tax return which is identical to the U.S. tax return (you will get the same refund either way).  While TurboTax does not technically support the form for Guam, there is a work-around, if you choose to do so.  Since the Guam return is identical to the U.S. return, you can prepare your return in TurboTax as a U.S. return and select “I wish to mail in my return”.  Once you “pay” for your return then you can print it out. (DO NOT E-FILE OR MAIL IN YOUR U.S. RETURN IF YOU FILE WITH GUAM)  After that, you would copy all of the information from your “U. S. return” to your Guam return.  You can then mail it in to the Guam address. (Click here for the Guam Department of Revenue and Taxation Website, where you can access the Guam tax forms when they are available, along with their address and how to e-file).