Do I need to file in a non-resident state if I earned interest income in from bonds in that state even if the worksheet indicates I would not incur taxes on that amount?

if you don't or didn't have domicile in that state during the year, you can not be taxed on the interest earned on its obligations.

Earning interest on bonds issued by a state is not considered as earning income in that state.  That is, you do not have California source income and do not need to file a CA income tax return.   This rule is the same in all states.