I didn't purchase insurance so I don't have a 1095-a form. but it's claiming I need one for my tax return to be accepted.

You were asked if you received a Form 1095-A and you indicated that you did.  Now the program wants you to enter the form.

Delete the form 1095-A and the Form 8962 if listed

Click on Tax Tools on the left side of the program screen

Click on Tools

Click on Delete a form

As you suspect, this situation happens when the IRS, for some reason, has your name and Social Security number on a list that they got from the Marketplaces showing that you are on a Marketplace insurance policy.

In my experience, this can happen without you knowing about it when a family member (typically a parent) buys a policy and adds you to it. This can happen when you are under 26, and have just started your first job so you have your own insurance, but your parents still have their policy and add you to it, figuring "What can it hurt?" 

If this is the case, there is a "fix". Get a copy of one of your parents' 1095-A to enter most of the numbers, then enter that 0% of this is allocated to you (and 100% to your parent). Since this likely reflects what actually happened, no one will be the worse off (tax wise).

Note that if your name and SS are on the list that the IRS has, you won't be able to talk your way off of it, so doing the 1095-A with a 0% allocation is the best and only way to fix it.

If my scenario above does not sound right, then you need to call the Marketplace (either the federal one, or the one in your state) and talk to them.