State tax filing

You likely won't get anything back from MS

From MS's FAQ's on MS gambling winning's adn W-2G's:

"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."

....problem is that you likely can't get an Indiana Credit for taxes paid to MS without filing a MS nonresident tax return.   Unless ...somehow.....Indiana has a special recognition of the special MS W-2G, non-filing procedure.
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*