State tax filing

On that screen in the Personal Info section of Online TurboTax when that question is expanded, you should see this tiny note which I've pasted below:

 

"Important:  You don't need a nonresident state return if you made money in Alaska, Nevada, South Dakota, Tennessee, Texas, or Wyoming.
  • If you made money in only 1 other state and it’s one of the states listed here, select No, I didn’t make money in other state"

If you made money in yet another state aside from TN and your resident state, you'd still have to select that third state.