Nevada has no income tax, so there is no Nevada tax form to file. Your income is 100% taxable by your resident state of Illinois. In TT, answer No to the question about having earnings from another state.
Also, if your employer is not withholding Illinois taxes for you, then you need to begin making quarterly estimated tax payments to IL. See this reference:
Thank you very much, I didn't want to trigger an audit by putting no to that question.
As an Illinois resident, you will report all of your wages, including those earned working remotely for a Nevada-based employer, on your Illinois state return. Nevada doesn't have a state income tax.
For more information on this topic, see Multiple States—Figuring What's Owed When You Live and Work in More Than One State.