It might be that a form isn't ready or doesn't support being e-filed. Please see the State forms availability table for TurboTax individual (personal) tax products.
To verify, you checked the active-duty military box for the W-2 on the "Do any of these uncommon situations apply to this W-2?" screen right after you enter your W-2 and have entered your military pay on the "Military Pay Exclusion" screen during the Illinois state interview?
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