No, if you are working in MN and are a resident of MN, then you only need to file a MN income tax return. It does not matter if your employer is based in another state, what matters is where you were performing the work. Therefore, your employer should be withholding MN taxes on your paychecks.
When setting up your tax return information in the My Info section of TurboTax, DO NOT say you made money in another state since you were only working in MN.
Here is more information on whether one has to file a non-resident return for an out of state employer:
https://ttlc.intuit.com/replies/4776808
