Are you talking about the screen that says "Your City Residency Information" and lists New York City and Yonkers? Does it say "Nonresident" next to each of those? If so, everything is okay. Just click "Done with Residency Info" and continue.
There will be a few more questions about living quarters in New York City and Yonkers and income from either of those cities. TurboTax has to ask about them because those two cities have local income taxes. But it doesn't mean that it thinks you live there. Just read the questions carefully and be sure to answer them accurately.