No, you do not file a non-resident return because no income was earned in MA.
Please see details below:
NonresidentsIf you're a nonresident with an annual Massachusetts gross income of more than either $8,000 or the prorated personal exemption, whichever is less, you must file a Massachusetts tax return.
You are an individual nonresident if you are neither a full-year or part-year resident.
https://www.mass.gov/service-details/who-must-file-a-state-personal-income-tax-return
