No, Texas does not have a state income tax so there is no income tax return to fill out. Declare the rental on your IL income tax return. 

Thank you!  We are getting an error on Check the Federal.  Says that we can't enter Rental and Royalties on the same Schedule E but we only got a 1099-MISC for Rent and did not get Royalties at all.  The Schedule E does not show Royalties but we get the error message.