You do not need to file a tax return in a reciprocal state if your only income from that state is wages.  If you indicated in Turbo Tax that you made money in another state, it would have added the additional state automatically.

when I entered that I lived in Indiana but worked and earned all of 2019's wages in Kentucky, TurboTax said I must stop & complete the KY form to see the accurate tax. How do I get to that form?

I pulled up & completed the 740-NP-R form but I don't understand what they want as far as tax amount paid. Is it just the State amount? How do I get a refund for that money?

But it didn't open a KY form for me to complete

Form 740-NR-R is the form you fill out and give to your employer so that only Indiana Tax is withheld on your Kentucky earnings. 

If you had Kentucky tax withheld (look at your W-2 lines 15, 16, and 17) then answer Yes, you have earnings in another state. Open the Kentucky return and report zero earnings. The program will take the withholding reported on your W-2 (which you already entered on the Federal screens) and show the Kentucky tax as a refund. If there was no Kentucky tax withheld, there is no reason to file a Kentucky state return. 

Next, do your Indiana return and claim all your earnings, including what you earned working in Kentucky.