Yes - If you are in school in a state that is not your resident state and you work in the state where your school is located, then you would actually have to file a nonresident state income tax return in the state where your school and work are located (where you actually earned your money) and a resident state tax return (to report all income from all sources including your nonresident earned income. However, you would claim a state income tax credit on your resident state's income tax return for any state income taxes paid to the nonresident state on income that is being taxed in both states.
If you don't meet the filing threshold requirements for either state and you are just wanting to claim a refund of your state withholding, then you would just file a nonresident state income tax return to report your nonresident income. (No resident state return would be needed in this case).
Here
is additional information about filing in multiple states (select "see
more answer" to view the entire attachment)
https://ttlc.intuit.com/replies/3300797
