Probably not. Indiana and Kentucky are reciprocal states. If no Kentucky income taxes were withheld, there is no filing requirement as @TomD8 stated.
If Kentucky taxes were not withheld and only Indiana taxes withheld, you must have filed Form 42A809 with your employer. Therefore, the only time Kentucky would require a filing would be to get Kentucky withholding returned.
For more information, see: 2020 Kentucky Form 740-NP Instruction Packet, page 11 and 2020 Kentucky Form 740-NP-R
