The New York State Tax return, Form IT-201 is used not only for the state income tax, but for income tax for New York City and Yonkers, as well as the Metropolitan Commuter Transportation Mobility Tax (MCTMT). That's why you're being asked about Yonkers.
If you don't live in Yonkers, you are a non-resident of Yonkers. When you see the screen Your Yonkers Source Income you get the question "Did you earn income from Yonkers sources while a nonresident of Yonkers?"
Since you say you've never been there, you probably didn't earn any income from Yonkers sources, and you should just say no.
[Edit 04/09/2019|2:31 PM]
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