Ohio has a reciprocal agreement, on wages,  with all neighboring states. No state taxes are withheld or due and you do not normally need to file a return for the other state (MI, PA, KY, WV, IN). But OH will tax you on your other state income.
If other state taxes are mistakenly withheld, you then have to file a return, for the other state, to get a refund. OH will not give you a credit. You should ask your employer to stop withholding so you don't have to file a  KY return every year.

However the reciprocity agreement does not apply to local city/county (box 19 of your W-2) taxes.  You can not get those refunded, but if you live in an Ohio city with a tax, they may give you a credit or partial credit. Many do.  You need to check with your city.
If you are subject to Ohio School District Income Tax (SDIT), you can not get a credit, for KY local taxes withheld, on an SDIT return.

If your employer is mistakenly withholding KY state tax, you should file KY Form 42A809 with them asap.  Here's a link to that form:  <a rel="nofollow" target="_blank" href="https://revenue.ky.gov/Forms/42A809.pdf">https://revenue.ky.gov/Forms/42A809.pdf</a>