Simple answer: No. For sure, the federal return is not affected. But, You need to describe why you are thinking of filing both MD & VA. There are several scenarios, one of which has you claiming a credit on one state for tax paid to the other. MD & VA have a reciprocal agreement on wages.
No state taxes are withheld or due, for the work state, and you do not normally need to file a return for that state (MI, PA, KY, WV, IN). But your home (residence) state will tax you on your other state income.
"I didnt get any taxes taking out from VA" seems to indicate you are in this typical situation. You do not need to file a VA return and not doing so will not affect your MD resident return.
If other state taxes are mistakenly withheld, you then have to file a return, for the other state, to get a refund. The home state will not give you a credit.