Since you have no net income from Oklahoma sources, you are not required to file an Oklahoma State Income tax return. This is why you are seeing the "Not Required to File" message. However, you do have the option to file anyway, either e-file if TurboTax will allow that or by mail (which may be easier).
When you review Oklahoma Form 511NR, you should be able to follow the calculations that resulted in no reportable state income. Be sure to print and/or save the State tax documents along with your Federal return for your files.
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