When you have multiple state returns, you should generally complete the nonresident state return first - in this case, Kentucky Form 740 NP-R. TurboTax will prepare the form from your entries in the Kentucky interview.
The prompt you saw in the Kentucky interview asking you to attach a copy of your resident (in your case, Ohio) return to your Kentucky return is in case you are mailing in your returns. If you e-file, TurboTax sends one complete package to the IRS and states.
Once you have completed your Federal and State returns, you can preview them to see all of the forms that TurboTax has prepared from your entries. See here for details.
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