It's possible that you are not a resident of any state, in which case you wouldn't file a state return for IL, and you would indicate that the state you lived in was Foreign or US Possession in the Personal Info section.
But you'd need to check with IL, because state residency is based on your unique facts and circumstances. See the FAQ below,and this detailed discussion from the
Illinois Bar Association concerning residency. Your drivers license, voter registration and other factors are all considered.
https://ttlc.intuit.com/replies/3301816
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