You don't have to file a Massachusetts income tax return is your MA income is $0.
Massachusetts says: "If you're a nonresident with an annual Massachusetts gross income of more than either $8,000 or the prorated personal exemption, whichever is less, you must file a Massachusetts tax return."
Who must file a state personal income tax return
The address of the trust is the fiduciary's address on Part I, line C. This is probably Fidelity.
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