Yes you can, but it will require a state tax return. If you were having taxes withheld to California, then you will file a California return with $0 income (if you resided in WA all of 2020). If your employer withheld Illinois (not likely, but possible), then you file an Illinois tax return with $0 income. Any taxes withheld will be refunded.
Keep in mind that either of these states could ask for proof that you don't live there and were not working there.