@mitty2day , generally IRS would consider income source as the place where work is performed. Thus in your case since your remote work is performed in IL, this income would be recognized as in state income ( for IL ). However in looking at IL DOR and its ref'd pub 130, appears to class you neither as an employee ( for purposes of IL withholding) not your employer as an IL based enterprise ( assuming that your employer does not do any business in IL ). This would mean that your employer is not required to withhold IL taxes nor for you to recognize this work ( remote) income as IL sourced. Also Missouri does not have a reciprocity agreement with IL. Hence my general ( and surprising ) conclusion is that you do not need to file and/or recognize this remote work income as IL sourced.
So you do not need to file an IL return.
However, since this whole area is somewhat murky/ developing, perhaps you should consider calling and discussing this with IL DOR to guide your decision in this regard.
Is there more I can do for you ?
pk
