Yes. Because you live in Rhode Island, you must file a resident tax return. According to the instructions for filing RI-1010: "Every resident individual of Rhode Island
who is required to file a federal income tax return must file a Rhode Island
individual income tax return (RI-1040)."
You also have to prepare a Massachusetts Non-Resident return, because you received MA-source income, but you may get credit on your Rhode Island return for taxes paid to another state.
Prepare the MA (nonresident) return first and then the pertinent information will flow to the RI return.