I live in Texas and work remotely for company in Indiana

I had local income tax taken out that totaled $2,120 and while filing TurboTax shows a IN refund of $2,120. I filled the state tax but my return was rejected.

On the question "How much of the $xxx did you earn while working IN Indiana?" I answered 0 (zero) and this was the reason my return was rejected. 

Do I need to file a state return? Why am I getting taxes taken out for a county I do not live in? Is this tax refundable?