Yes, since your winnings are over $500 and you are required to file a federal return then you must file a Maryland nonresident state return.
General rules for filing a Maryland return:
•You are a nonresident of Maryland,
•You are required to file a federal return
•You received income from sources within Maryland
Maryland Gambling Rules:
If you receive winnings from Maryland lottery games, racetrack betting or gambling, you must pay income tax on the prize money. This would apply if you were either a resident of Maryland or a nonresident.
If you win less than $500, you don't have to file Form 502D, but you still must report the winnings and pay tax on it when you file your annual state income tax return.
Please view the Maryland link below for more information.
https://taxes.marylandtaxes.gov/Individual_Taxes/Individual_Tax_Types/Income_Tax/Payment_Information/Estimated_Tax_Payments/Paying_Tax_on_Gambling_Winnings.shtml
Follow the directions in the TurboTax FAQ below to file a nonresident state return.
https://ttlc.intuit.com/replies/3302052