Yes. There will be an issue if you are claiming a credit on your New York resident income tax return for tax paid to New Jersey and/or Indiana.
That's because NY requires a copy of the other state returns in order to give you credit for tax paid to NJ and/or IN. TurboTax will send the nonresident returns to NY as part of your e-file.
If you e-file without the other two states, NY may either hold up your return or send you a letter later on asking for copies of NJ and/or IN. If you are fine with that, you can e-file NY and paper file NJ and IN.
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