If your only source of income from Mississippi is gambling winnings and you are not a resident of Mississippi you are not required to file a Mississippi tax return. TurboTax may have added the Mississippi return to your account because you indicated you made money in Mississippi or had taxes withheld from Mississippi. If this income and withholding is solely from gambling winnings you can simply remove the Mississippi state return from your account.
To remove the MS return select the State Taxes tab and then Delete next to the MS return. If you are taken straight to the MS questions without seeing the option to delete the state select the State Taxes tab while in the state questions. You should then see a page that says Status of Your State Returns. As long as you have not already paid for the MS return you should be able to remove it.
From the Mississippi non-resident tax form instructions: http://www.dor.ms.gov/Pages/Individual-FAQs.aspx
Note: Gambling winnings reported on a W2G, 1099, or other informational return from Mississippi casinos are subject to a three percent (3%) non-refundable income tax. The casinos withhold the tax at the time of payout.
The amount withheld is non-refundable to the taxpayer. Section 27-7-901 of the Mississippi Code provides that the amount of winnings reported on W2G, 1099 or other informational return from Mississippi casinos are not included in Mississippi income and no income tax credit is allowed for the amount of withholding.
A non-resident taxpayer with only Mississippi gambling winnings and/or losses should not file a Mississippi tax return. The document provided by the casino is considered the income tax return for this type of Mississippi income and therefore is proof that the tax was paid to Mississippi.