At the request of TomD8, I am editing my original answer.  No, Indiana and Kentucky have a reciprocal agreement whereas if you live in Kentucky, but work in Indiana, your Indiana employer will not withhold taxes and you won't have an Indiana filing requirement. It may have been because you submitted a form to request that your Indiana  employer not withhold taxes but withhold Kentucky taxes instead. 

Your only responsibility is to file an Kentucky State return.  If you started a Indiana return, delete it from your State returns.

[Edited 02-10-2021|13:35 PST]

@DaveF1006 wrote "Your only responsibility is to file an Indiana State return.  If you started a Kentucky return, delete it from your State returns."

No.  As a Kentucky resident, your only responsibility is to file a Kentucky tax return.  Your income is 100% taxable by your home state of Kentucky.

Assuming your income from Indiana consists entirely of W-2 wages, salary, or commissions, you do not have to file an Indiana tax return.  

If your employer cannot or does not withhold KY taxes, you should make quarterly estimated tax payments to Kentucky to avoid any penalties.  You'll find the instructions for that here:

https://revenue.ky.gov/Forms/740-ES%20Instructions.pdf