When you moved to TX, was the intention always to move back to MA? If it was always intended to be temporary, then you would be considered a full-year resident of MA for tax purposes. Ordinarily, you would have to file a nonresident return for the state that you lived and worked in, even if temporarily. However, as you said, Texas does not have an income tax so you do not have to worry about that. If you are a full-year resident of MA, they get to tax all your income, including the portion that was earned while in Texas.
If you thought the move might be permanent, did you take any other measures to establish Texas residency? Did you ever get a TX driver's license, bank account, permanent address, or anything else that would indicate an intent to be a resident there? Did you give up your Massachusetts home? If so, then you could make a case for being a resident in Texas for those months, in which case you would not have to report any income to Massachusetts for those months. The fact that you were only there for three months does not mean you definitely didn't establish residency, but it doesn't help your case. You would have to be able to document that claim if Massachusetts were to question it.
Either way, since you converted the IRA to a Roth while you were in MA, you would owe MA taxes on the conversion.
