No. Since you will not have an WI state income tax filing (due to the reciprocal agreement between WI and IL), just select "no" to " Did you make money in any other states?" under the Personal Information section in TurboTax (see screenshots)
You can get rid of a state without clearing your federal return by just deleting the state from your list of states under the "State Taxes" tab.
Please note that you will not have a delete option until you actually start working on the state. Select that you want to start the state return under the state taxes tab. The system will start calculating. Then go back into the state tab at the top of the screen and you should now get a choice for that state to either continue or delete. You won't be charged for just starting the state return. You would only be charged (if applicable) when you are getting ready to file.