IN has a reciprocal agreement, on wages, with KY. No KY state taxes are withheld or due and you do not need to file a KY return. But IN will tax you on your KY income.
If KY taxes are mistakenly withheld, you have to file a KY return to get a refund. You should ask your employer to stop withholding so you don't have to file an KY return every year. KY has a specific form (740 NP-R ) for a reciprocal state refund. Rather than paying TurboTax for KY software, you should try filing that form by hand. It looks pretty simple. https://revenue.ky.gov/Forms/Form%20740-NP-R%202018.pdf
However the reciprocity agreement does not apply to local city & county taxes. You are not required to file a local city/county return, but you are also not entitled to a refund of the withholding (box19 on your W-2), unless there was an error in the amount. Some (but not all) IN counties (but not the state) allow a credit, or partial credit for tax paid to a KY city/county. That will come up in the IN state interview.
