In MY INFO when it asked if you made money in any other state in 2024 did you say that you made money in MS? Better go back through the screens in MY INFO for that question. Yes, if you worked in MS you are subject to paying tax to MS. You live in TN, a state without a state income tax, but since you worked and earned income in a state with income tax, you pay MS.
You need to go back to the My Info section and edit your personal information. Where asked if you made money in any other states, you need to answer YES and select Mississippi from the dropdown. This will allow the program to provide a MS nonresident state tax form