It depends. Most states only tax income that is earned or received while physically in the state. However, every state has different laws, so which state was the online gambling forum located and did you receive a W2-G or 1099 with state taxes withheld?
If you did receive a W2-G or 1099 with state taxes withheld, and the non resident state does NOT tax winners from other states, then you would need to file a non resident return to claim a refund of the taxes withheld.
If the state where the gambling took place does not tax those who are not physically in the state and no taxes were withheld, then you do not need to file a non-resident state return.