Per the state of Mississippi, a nonresident who only has income from gambling in MS should not file a MS return. Please see the screen shot below which can be found at: http://www.dor.ms.gov/Pages/Individual-FAQs.aspx#6
Look at the paragraph "How do I report Gambling Winnings?".
As far as why you are filing a Mississippi return, did you indicate that you had earned money in another state? That would trigger the state return. If you started your state return, you can delete the return by clicking on the state taxes tab, click continue and beside the Mississippi return you have the option to delete.
