To claim exempt from federal withholding, see the form and the instructions on page 2. Note that you must file a new W-4 claiming exemption each year before Feb 15. (So file one ASAP, then one next January, and so on.)
https://www.irs.gov/pub/irs-pdf/fw4.pdf
I don't think you should file an Indiana form WH-4, since that seems to be only for people (including non-resident aliens) who have Indiana income that requires withholding. You are not a resident of Indiana (since 2022) so you should just be able to tell your employer that you are not a resident of Indiana and should not have any tax withheld.
That should turn off all your withholding.
For 2024 you will file a 1040-NR (with 1040-X) and an amended Indiana IT-40PNR, but you will need to indicate that you had zero taxable income, so that you request a refund of all withholding. You may need to make manual adjustments in Sprintax, or see a professional, or file by hand. For 2023, it sounds like you need to file an amended 1040-NR and amended IT-40PNR.
For 2022, since you were in the country part of the year and out part of the year, your tax situation is a bit more complicated, although you should still only pay US tax on the income you earned while you were actually living or working in the US. I think @pk will be of more help with correcting your 2022 tax returns.
