I don't have specific knowledge of your states but I have a Delaware corp that is doing business in Massachusetts and I need to file as a "foreign" corp. This has nothing to do with being in the United States. In the context of the MA return any business not incorporated in MA is a foreign corp.
You may need to specify something like that to get to the place where you enter Delaware as the home state of the corp. If it doesn't know yours is a "foreign" (or whatever term they use) corp than it may not ask. There may even be a different set of forms required for a non-resident corp so be sure you are using the correct forms.
