Do I need to file paper state tax forms since I did a ROTH conversion and Turbo Tax says I need to attach my 1099R?

No, you don't have to paper file your tax return with the state.   According to the PA Department of Revenue website, 

Individual Retirement Accounts (IRAs) are not subject to attachment, so long as the Individual Retirement Account (IRA), including those held as certificates of deposit, was (1) established under federal regulations, opened prior to the financial institution receiving the Department’s attachment order and notifying the delinquent taxpayer, and (2) is still subject to a 10 percent federal penalty for premature withdrawals (i.e. generally distributions made by the delinquent taxpayer prior to the taxpayer reaching 59 ½ years of age). Since this does not provide the taxpayer with an unconditional right of access, it will not be the subject of Department administrative account attachment order.

 

The above doesn't apply to you.

Please try the following steps and see if it clears the message to attach your 1099R:

 

:To report the Traditional IRA distribution and the conversion contribution:

• log in to your Turbo Tax account
• click on "take me to my return"
• click on the "federal taxes" tab
• click on "wages and income"
• choose "show more and "see list of all income"
• scroll down to "retirement plans and social security"
• click on "start" next to "IRAs, 401(k), etc"
• enter the information for your 1099R
• Turbo Tax will ask you questions about your Traditional IRA distribution
• When you reach the screen that says, "what did you do with the money?", choose the option that says, "I moved the money to another retirement account"
• After you choose this option, another set of options will appear:
• If you converted the entire distribution to a Roth IRA, choose "I converted all of this money to a Roth IRA"
• If you only converted some of the distribution to a Roth IRA, choose, "I did a combination of rolling over, converting, and cashing out the money." If you choose this option, Turbo Tax will ask you to identify how much of the distribution was converted to a Roth IRA, and how much of the distribution was rolled over into another retirement plan.
• Next you will the screen that says, "your 1099R entries". Scroll down to the bottom of the page and click "continue". Turbo Tax will ask you more questions and you will need your 5498 Form for your Traditional IRA. A year end statement might also provide the necessary information. 

@black1761  you have it backwards.

Attach 1099-R if you mail your return (and that 1099 shows tax withheld).

do not mail your return to attach a 1099-R.

Thank you.