That's right. In the situation you describe, you only pay tax to your home state. You don't have to file tax returns or pay any tax in the states that the clients are located in. When TurboTax asks whether you made money in other states you can answer No.
It's possible that the tax department in some other state, seeing a 1099 from their state, might send you a letter saying that you should be filing in that state. If that happens, you just have to reply explaining that you never worked in that state, that you only did consulting work in your own state for a client in the other state.
