You actually qualify to file separately in California even though you are filing jointly for your federal return.  Since your spouse never moved to California and assuming she did not have any income from California sources, you could file separately and avoid the health insurance reporting mandate for her.

Please see the link below for steps on how to prepare a separate return in TurboTax.

Filing a joint return for federal but separate for state

Should you decide to still file within California as married filing jointly, you will be able to edit your input for the health insurance mandate in the state interview section of the program.

1. Select State in the black panel on the left hand side of your screen when logged into TurboTax.
2. This will take you to a screen titled Let's get your state taxes done right.  Click continue on this screen.
3. You will see the following screen titled Status of your state returns.  Select Edit to the right of California.

Be sure to enter your dates of residency for you and your spouse to ensure the health coverage questions are answered correctly.

Continue through the California screens until you see Did you have health insurance coverage in 2020?

Select I'll pick who had it and which months.

You will be able to pick the months on the next page for yourself and your spouse.  Once you have done this, select continue. 

The next screen will ask Did you have a situation that waives the tax penalty for being uninsured?  Select Continue through this screen.

You should see a screen saying Based on your situation, the penalty has been waived!  This message will appear since your wife was a nonresident for the entire year and would not be subject to the health insurance mandate imposed by California.

Additional information can be found for the health insurance coverage mandate for California in the link below.

Covered CA health coverage

Hi,

Thank you so much for the reply. When I click though and do not select any waiver options, it still applies the penalty. It seems to me, there should be a reason to select non-resident or partial non-resident. I have ensured that my wife was not entered as a resident for any of 2020 or anything like that. I am half-tempted to enter we had health insurance all of the year since she isn't subject to that requirement. But that seems to be bad form. Any other thoughts? Thanks.

No, you can absolutely select that you had health insurance coverage all year, especially if you both did even though it wasn't in California.  

The penalty would only apply if you did not have health insurance coverage.  There is no stipulation that it has to be from Covered California.

What is Covered California

Also, if you are asked for more information from the Franchise Tax Board, you can provide support to show that your spouse did not reside in California at any time and was not subject to the California health insurance mandate.

Finally, you can still go to the Covered California website and request a waiver as a safety measure should the FTB request additional support.

Exemption request link