After you file

Ok ... if they withheld any OK taxes then you will file a non resident OK return to get it back since none of the income belongs to OK. 

 

Then all the income is taxed to IL and since you owed nothing to OK  you cannot get a credit for any taxes paid to OK since you paid none.   In the TT program you should have completed the OK return first then the IL return so the proper credit would have been calculated which in your case it is nothing.