I work in & live in Va but employer is based in Kentucky & took Ky taxes out of my paycheck and KY is is listed on the W2. Do i need to file a return for Va and Ky?

If you both live and work in VA, meaning you do not commute to KY on a daily basis, then you do have to file tax returns for both states, VA as a resident return and KY as a nonresident.